Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series

Jorge Belaire-Franch 1 , 1  and Amado Peiro 2 , 2
  • 1 University of Valencia, Spain, jorge.belaire@uv.es
  • 2 University of Valencia, Spain, Amado.Peiro@uv.es

This paper examines conditional and unconditional asymmetries in the Nelson and Plosser dataset by using two tests recently proposed by Jushan Bai and Serena Ng. In line with previous research, the results show that asymmetry is not a proper characterization of most macroeconomic series, although labor variables like employment and the unemployment rate present unconditional asymmetries.

    • Data file and Ox files
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SNDE recognizes that advances in statistics and dynamical systems theory can increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.

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