Asymmetric Persistence in GDP? A Deeper Look at Depth
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.
© 1997 Elsevier B.V.
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)