Asymmetric persistence in GDP? A deeper look at depth

Article Abstract:

Asymptotic results of the Beaudry and Koop's model on US GDP and their possible applications on other G-7 countries are discussed. Analytical and simulation estimation of BK's GDP asymmetric persistence test are likewise presented. A Monte-Carlo analysis is extensibly used for a more realistic data-generating processes for GDP. Results reveal no common pattern of asymmetric persistence of G-7 countries, hence demonstrating a restricted BK model.

Simulation methods, Simulation, Time-series analysis, Time series analysis

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Asymmetric business cycles: theory and time-series evidence

Article Abstract:

An alternative model for examining aggregate economic fluctuations that is based on intertemporal increasing returns is presented. The model characterizes output dynamics where cyclical components are persistent due to intertemporal increasing returns, linking sharpness of turning points and degree of persistence to the form of heterogeneity. Results reveal a model that can explain US GNP using only modest intertemporal returns.

Gross national product, Autoregression (Statistics)

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