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Testing for Asymmetries in UK Macroeconomic Time Series
Author(s) -
Speight A.E.H.,
McMillan D.G.
Publication year - 1998
Publication title -
scottish journal of political economy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.4
H-Index - 46
eISSN - 1467-9485
pISSN - 0036-9292
DOI - 10.1111/1467-9485.00087
Subject(s) - economics , unemployment , robustness (evolution) , econometrics , consumption (sociology) , investment (military) , series (stratigraphy) , inflation (cosmology) , macroeconomics , paleontology , social science , biochemistry , chemistry , physics , sociology , politics , biology , political science , theoretical physics , law , gene
This paper examines the asymmetric properties of a broad range of quarterly postwar UK macroeconomic time series using recently developed test statistics for contractionary ‘deepness’ and ‘steepness’ relative to trend. We also examine the robustness of these test statistics to two alternative methods of detrending, namely Hodrick‐Prescott filtering and structural time series modelling. We find strong corroborative evidence of asymmetric steepness relative to trend in durable consumption, total investment, investment in plant and machinery, exports and unemployment. We find weaker evidence of asymmetric deepness in savings, exports, labour hours, consumption and unemployment.