Studies in Nonlinear Dynamics and Econometrics

Abstract

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 manufacturing industries.

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Cite this paper

@inproceedings{Proietti1999StudiesIN, title={Studies in Nonlinear Dynamics and Econometrics}, author={Tommaso Proietti}, year={1999} }