|
|
| Volume 8, No. 1,
April 2009 |
|
|
Asymmetries in Macroeconomic
Time Series |
|
in Eleven Asian Economies |
|
|
|
Khurshid M. Kiani |
|
|
Department of Economics,
University of Nottingham, Ningbo, China |
|
|
| Abstract |
|
|
|
|
We investigate business cycle
asymmetries in the real GDP of eleven selected Asian economies using
nonlinear switching time series models and artificial neural
networks. Results based on neural network linearity tests show
evidence of business cycle asymmetries in all series. Results based
on switching and augmented time series models also reveal business
cycle asymmetries in most series studied. |
|
|
|
Key words:
real GDP growth rates; fat tails; stable distributions; neural
networks;
out-of-sample forecasts; long memory; nonlinearities; business
cycles |
| JEL
classification:
C22; C32; C45; C53 |
|
|
Back |