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Asymmetric time series and temporal aggregation
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.ORCID iD: 0000-0001-8826-0410
1999 (English)In: Review of Economics and Statistics, ISSN 0034-6535, E-ISSN 1530-9142, Vol. 81, no 2, 341-344 p.Article in journal (Refereed) Published
Abstract [en]

The detection of nonlinearities could depend on the sampling frequency. Asymmetric monthly series may become symmetric when aggregated to quarterly or annual frequencies. We test against nonlinearity using the nonlinear autoregressive asymmetric moving average (ARasMA) model, which nests the linear ARMA model as a special case. Using monthly, quarterly, and annual Swedish unemployment series, we find support for symmetry/linearity in the annual series but not in the monthly and quarterly series.

Place, publisher, year, edition, pages
1999. Vol. 81, no 2, 341-344 p.
National Category
Economics
Research subject
Economics
Identifiers
URN: urn:nbn:se:uu:diva-68872DOI: 10.1162/003465399558120OAI: oai:DiVA.org:uu-68872DiVA: diva2:96783
Available from: 2005-03-13 Created: 2005-03-13 Last updated: 2017-11-21

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Publisher's full texthttp://econpapers.repec.org/article/tprrestat/v_3a81_3ay_3a1999_3ai_3a2_3ap_3a341-344.htm

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Ohlsson, Henry

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