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Volume 8, No. 1,
April 200
9
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Asymmetries
in Macroeconomic Time Series
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in
Eleven Asian Economies
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Khurshid M. Kiani*
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Department of Economics, University of
Nottingham, Ningbo, China
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Abstract
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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.
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Key words
:
real GDP growth rates; fat tails; stable
distributions; neural networks; out-of-sample forecasts;
long memory; nonlinearities; business cycles
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JEL classification
:
C22; C32; C45; C53
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