Studies in Nonlinear Dynamics and Econometrics
نویسندگان
چکیده
This paper investigates the problem of testing for the symmetry of linear time series driven by asymmetric innovations. In particular, we examine the performance of alternative symmetry tests when innovations are fat tailed. Among the tests considered, only the test based on the tail estimator of the spectral measure yields satisfactory results in the presence of fat-tailed innovations.
منابع مشابه
Studies in Nonlinear Dynamics and Econometrics
This paper investigates topologically semiconjugate dynamics as a macrorepresentation of microeconomic dynamics. The condition for its existence, its summarizing property, and its inferability property are discussed. As an example, we present a model of a temporary equilibrium price dynamic that has a topologically semiconjugate one-dimensional income dynamic, from which the nature of the origi...
متن کاملStudies in Nonlinear Dynamics and Econometrics
This paper aims at testing and modeling business-cycle asymmetries within a structural time-series framework, allowing for smooth transition in the parameters characterizing the cyclical component, namely, the damping factor and the frequency. An LM test of linearity is derived, and illustrations are provided with reference to a set of quarterly U.S. industrial production series for two-digit m...
متن کاملStudies in Nonlinear Dynamics and Econometrics
We investigate business cycle dynamics for 26 countries, estimating a set of nonlinear models for real GDP where appropriate. We find a great deal of heterogeneity in the dynamics of real output growth across countries. At the same time, a common feature is the asymmetric response of real GDP to shocks and the tendency for negative real GDP shocks to be less persistent than positive real GDP sh...
متن کاملThe Transient Dynamics of a Beam Mounted on Spring Supports and Equipped with the Nonlinear Energy Sink
The transient dynamics of a beam mounted on springer-damper support and equipped with a nonlinear energy sink (NES) is investigated under the effects of shock loads. The equations of motion are derived using the Hamilton’s principle leading to four hybrid ordinary and partial differential equations and descritized using the Galerkin method. An adaptive Newmark method is employed for accurate an...
متن کاملStudies in Nonlinear Dynamics and Econometrics
There is now a great deal of empirical evidence that business cycle fluctuations contain asymmetries. I focus on a theoretical model intended to capture the nonlinear behavior of aggregate output following a large negative shock. Nonlinearity introduced by Bayesian updating and an information externality produces an economy in which the response to large negative shocks is an increase in future...
متن کاملStudies in Nonlinear Dynamics and Econometrics
It is a common assertion that, in a world with perfect markets and rational expectations, endogenous cycles could only arise under very unrealistic assumptions. This paper offers a short discussion on this claim and a review of the relevant contributions to the literature on deterministic fluctuations in competitive models. It is argued that these types of fluctuations are more easily obtained ...
متن کامل