Asymmetric Persistence in GDP? A Deeper Look at Depth
Document Type
Article
Department
Economics (CMC)
Publication Date
1997
Abstract
If an economic time series behaves asymmetrically, then an interpretation of economic fluctuations based on linear time-series models could be misleading. Beaudry and Koop (1993) recently argued that for post-war US GDP data there exists a statistically significant difference in persistence between negative and positive shocks. We demonstrate that their test has two pitfalls: First, the t-statistic for testing asymmetry in persistence does not have a conventional interpretation. Second, a highly significant t-value may come from sources different from asymmetry. Using international data, we investigate for the presence of asymmetric persistence across the G-7 countries.
Rights Information
© 1997 Elsevier B.V.
Terms of Use & License Information
DOI
10.1016/S0304-3932(97)00057-3
Recommended Citation
Gregory D. Hess, Shigeru Iwata, Asymmetric persistence in GDP? A deeper look at depth, Journal of Monetary Economics, Volume 40, Issue 3, December 1997, Pages 535-554, ISSN 0304-3932, 10.1016/S0304-3932(97)00057-3. (http://www.sciencedirect.com/science/article/pii/S0304393297000573)
