Loading…
Modelling Cyclical Asymmetry in a Production Series Using Threshold Autoregressive Models
Ces dernières années ont vu apparaître dans la littérature de nombreuses preuves de la non-linéarité des séries temporelles telles que celles du PNB ou de la production. Dans cet article, nous cherchons à savoir s'il existe des non-linéarités dans l'indice de la production nette du secteur...
Saved in:
| Published in: | Recherches économiques de Louvain 1992-01, Vol.58 (3/4), p.473-486 |
|---|---|
| Main Author: | |
| Format: | Article |
| Language: | English |
| Subjects: | |
| Citations: | Items that this one cites Items that cite this one |
| Online Access: | Get full text |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| cited_by | cdi_FETCH-LOGICAL-c2339-5f2905c2c165b9ab4b88aa3b0b62085b413abb174a4201ba43626fd1bbae92273 |
|---|---|
| cites | cdi_FETCH-LOGICAL-c2339-5f2905c2c165b9ab4b88aa3b0b62085b413abb174a4201ba43626fd1bbae92273 |
| container_end_page | 486 |
| container_issue | 3/4 |
| container_start_page | 473 |
| container_title | Recherches économiques de Louvain |
| container_volume | 58 |
| creator | Kräger, Horst |
| description | Ces dernières années ont vu apparaître dans la littérature de nombreuses preuves de la non-linéarité des séries temporelles telles que celles du PNB ou de la production. Dans cet article, nous cherchons à savoir s'il existe des non-linéarités dans l'indice de la production nette du secteur productif de la RFA. On applique 3 tests différents de nonlinéarité sur les séries stationnaires et deux de celles-ci s'avèrent clairement non-linéaires. Un recours à l'estimation d'un modèle SETAR, permet de saisir différemment ces non-linéairités détectées à l'étape précédente. In recent years there is evidence in the literature that various time series like GNP or production may be nonlinear. In this paper the question is examined whether there are non-linearities in the net production index for the producing sector of the FRG. Three different non-linearity tests are applied on the stationary series and two exhibit clear nonlinearities. Therefore a SETAR-model was estimated and it was able to capture all the previous inherent non-linearities. |
| doi_str_mv | 10.1017/S0770451800044171 |
| format | article |
| fullrecord | <record><control><sourceid>jstor_proqu</sourceid><recordid>TN_cdi_proquest_miscellaneous_38486959</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><jstor_id>40724005</jstor_id><sourcerecordid>40724005</sourcerecordid><originalsourceid>FETCH-LOGICAL-c2339-5f2905c2c165b9ab4b88aa3b0b62085b413abb174a4201ba43626fd1bbae92273</originalsourceid><addsrcrecordid>eNplkM1Lw0AQxRdRsFb_AA_CguAtOrOfybEUv6Ci0PbgKeym2zYlydbdROh_b2rFg56G4f3eY-YRcolwi4D6bgpag5CYAoAQqPGIDFCnLEGRyWMy2MvJXj8lZzFuABRqJQfk_cUvXFWVzYqOd0VVFqaio7ira9eGHS0bauhb8IuuaEvf0KkLpYt0Hvf8bB1cXPtqQUdd64Nb9WssPx39jozn5GRpqugufuaQzB_uZ-OnZPL6-DweTZKCcZ4lcskykAUrUEmbGStsmhrDLVjFIJVWIDfWohZGMEBrBFdMLRdorXEZY5oPyc0hdxv8R-dim9dlLPqfTON8F3OeilRlMuvB6z_gxneh6W_LkUOWCs6Z6ik8UEXwMQa3zLehrE3Y5Qj5vur8X9W95-rg2cS-iF-DAM0EgORfM0x59g</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1309843326</pqid></control><display><type>article</type><title>Modelling Cyclical Asymmetry in a Production Series Using Threshold Autoregressive Models</title><source>International Bibliography of the Social Sciences (IBSS)</source><source>JSTOR Archival Journals and Primary Sources Collection</source><creator>Kräger, Horst</creator><creatorcontrib>Kräger, Horst</creatorcontrib><description>Ces dernières années ont vu apparaître dans la littérature de nombreuses preuves de la non-linéarité des séries temporelles telles que celles du PNB ou de la production. Dans cet article, nous cherchons à savoir s'il existe des non-linéarités dans l'indice de la production nette du secteur productif de la RFA. On applique 3 tests différents de nonlinéarité sur les séries stationnaires et deux de celles-ci s'avèrent clairement non-linéaires. Un recours à l'estimation d'un modèle SETAR, permet de saisir différemment ces non-linéairités détectées à l'étape précédente. In recent years there is evidence in the literature that various time series like GNP or production may be nonlinear. In this paper the question is examined whether there are non-linearities in the net production index for the producing sector of the FRG. Three different non-linearity tests are applied on the stationary series and two exhibit clear nonlinearities. Therefore a SETAR-model was estimated and it was able to capture all the previous inherent non-linearities.</description><identifier>ISSN: 0770-4518</identifier><identifier>EISSN: 1782-1495</identifier><identifier>DOI: 10.1017/S0770451800044171</identifier><language>eng</language><publisher>Louvain: De Boeck</publisher><subject>Autoregressive models ; Business cycles ; Cyclical asymmetry ; Economic fluctuations ; Limit cycles ; Modelling ; Nonlinearity ; Null hypothesis ; Parametric models ; Part IV: Time Series Analysis of Output and Employment ; Production ; Skeleton ; Time series ; Time series models</subject><ispartof>Recherches économiques de Louvain, 1992-01, Vol.58 (3/4), p.473-486</ispartof><rights>1992 De Boeck-Wesmael s.a.</rights><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c2339-5f2905c2c165b9ab4b88aa3b0b62085b413abb174a4201ba43626fd1bbae92273</citedby><cites>FETCH-LOGICAL-c2339-5f2905c2c165b9ab4b88aa3b0b62085b413abb174a4201ba43626fd1bbae92273</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/40724005$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.jstor.org/stable/40724005$$EHTML$$P50$$Gjstor$$H</linktohtml><link.rule.ids>314,780,784,4024,27923,27924,27925,33224,58238,58471</link.rule.ids></links><search><creatorcontrib>Kräger, Horst</creatorcontrib><title>Modelling Cyclical Asymmetry in a Production Series Using Threshold Autoregressive Models</title><title>Recherches économiques de Louvain</title><description>Ces dernières années ont vu apparaître dans la littérature de nombreuses preuves de la non-linéarité des séries temporelles telles que celles du PNB ou de la production. Dans cet article, nous cherchons à savoir s'il existe des non-linéarités dans l'indice de la production nette du secteur productif de la RFA. On applique 3 tests différents de nonlinéarité sur les séries stationnaires et deux de celles-ci s'avèrent clairement non-linéaires. Un recours à l'estimation d'un modèle SETAR, permet de saisir différemment ces non-linéairités détectées à l'étape précédente. In recent years there is evidence in the literature that various time series like GNP or production may be nonlinear. In this paper the question is examined whether there are non-linearities in the net production index for the producing sector of the FRG. Three different non-linearity tests are applied on the stationary series and two exhibit clear nonlinearities. Therefore a SETAR-model was estimated and it was able to capture all the previous inherent non-linearities.</description><subject>Autoregressive models</subject><subject>Business cycles</subject><subject>Cyclical asymmetry</subject><subject>Economic fluctuations</subject><subject>Limit cycles</subject><subject>Modelling</subject><subject>Nonlinearity</subject><subject>Null hypothesis</subject><subject>Parametric models</subject><subject>Part IV: Time Series Analysis of Output and Employment</subject><subject>Production</subject><subject>Skeleton</subject><subject>Time series</subject><subject>Time series models</subject><issn>0770-4518</issn><issn>1782-1495</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1992</creationdate><recordtype>article</recordtype><sourceid>8BJ</sourceid><recordid>eNplkM1Lw0AQxRdRsFb_AA_CguAtOrOfybEUv6Ci0PbgKeym2zYlydbdROh_b2rFg56G4f3eY-YRcolwi4D6bgpag5CYAoAQqPGIDFCnLEGRyWMy2MvJXj8lZzFuABRqJQfk_cUvXFWVzYqOd0VVFqaio7ira9eGHS0bauhb8IuuaEvf0KkLpYt0Hvf8bB1cXPtqQUdd64Nb9WssPx39jozn5GRpqugufuaQzB_uZ-OnZPL6-DweTZKCcZ4lcskykAUrUEmbGStsmhrDLVjFIJVWIDfWohZGMEBrBFdMLRdorXEZY5oPyc0hdxv8R-dim9dlLPqfTON8F3OeilRlMuvB6z_gxneh6W_LkUOWCs6Z6ik8UEXwMQa3zLehrE3Y5Qj5vur8X9W95-rg2cS-iF-DAM0EgORfM0x59g</recordid><startdate>19920101</startdate><enddate>19920101</enddate><creator>Kräger, Horst</creator><general>De Boeck</general><general>Université catholique de Louvain</general><scope>AAYXX</scope><scope>CITATION</scope><scope>GYTRX</scope><scope>HBMBR</scope><scope>JHMDA</scope><scope>K30</scope><scope>PAAUG</scope><scope>PAWHS</scope><scope>PAWZZ</scope><scope>PAXOH</scope><scope>PBHAV</scope><scope>PBQSW</scope><scope>PBYQZ</scope><scope>PCIWU</scope><scope>PCMID</scope><scope>PCZJX</scope><scope>PDGRG</scope><scope>PDWWI</scope><scope>PETMR</scope><scope>PFVGT</scope><scope>PGXDX</scope><scope>PIHIL</scope><scope>PISVA</scope><scope>PJCTQ</scope><scope>PJTMS</scope><scope>PLCHJ</scope><scope>PMHAD</scope><scope>PNQDJ</scope><scope>POUND</scope><scope>PPLAD</scope><scope>PQAPC</scope><scope>PQCAN</scope><scope>PQCMW</scope><scope>PQEME</scope><scope>PQHKH</scope><scope>PQMID</scope><scope>PQNCT</scope><scope>PQNET</scope><scope>PQSCT</scope><scope>PQSET</scope><scope>PSVJG</scope><scope>PVMQY</scope><scope>PZGFC</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>19920101</creationdate><title>Modelling Cyclical Asymmetry in a Production Series Using Threshold Autoregressive Models</title><author>Kräger, Horst</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c2339-5f2905c2c165b9ab4b88aa3b0b62085b413abb174a4201ba43626fd1bbae92273</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1992</creationdate><topic>Autoregressive models</topic><topic>Business cycles</topic><topic>Cyclical asymmetry</topic><topic>Economic fluctuations</topic><topic>Limit cycles</topic><topic>Modelling</topic><topic>Nonlinearity</topic><topic>Null hypothesis</topic><topic>Parametric models</topic><topic>Part IV: Time Series Analysis of Output and Employment</topic><topic>Production</topic><topic>Skeleton</topic><topic>Time series</topic><topic>Time series models</topic><toplevel>online_resources</toplevel><creatorcontrib>Kräger, Horst</creatorcontrib><collection>CrossRef</collection><collection>Periodicals Index Online Segment 11</collection><collection>Periodicals Index Online Segment 14</collection><collection>Periodicals Index Online Segment 31</collection><collection>Periodicals Index Online</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - West</collection><collection>Primary Sources Access (Plan D) - International</collection><collection>Primary Sources Access & Build (Plan A) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Midwest</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Northeast</collection><collection>Primary Sources Access (Plan D) - Southeast</collection><collection>Primary Sources Access (Plan D) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Southeast</collection><collection>Primary Sources Access (Plan D) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - UK / I</collection><collection>Primary Sources Access (Plan D) - Canada</collection><collection>Primary Sources Access (Plan D) - EMEALA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - International</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - International</collection><collection>Primary Sources Access (Plan D) - West</collection><collection>Periodicals Index Online Segments 1-50</collection><collection>Primary Sources Access (Plan D) - APAC</collection><collection>Primary Sources Access (Plan D) - Midwest</collection><collection>Primary Sources Access (Plan D) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Canada</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - EMEALA</collection><collection>Primary Sources Access & Build (Plan A) - APAC</collection><collection>Primary Sources Access & Build (Plan A) - Canada</collection><collection>Primary Sources Access & Build (Plan A) - West</collection><collection>Primary Sources Access & Build (Plan A) - EMEALA</collection><collection>Primary Sources Access (Plan D) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - Midwest</collection><collection>Primary Sources Access & Build (Plan A) - North Central</collection><collection>Primary Sources Access & Build (Plan A) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - Southeast</collection><collection>Primary Sources Access (Plan D) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - APAC</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - MEA</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Recherches économiques de Louvain</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Kräger, Horst</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Modelling Cyclical Asymmetry in a Production Series Using Threshold Autoregressive Models</atitle><jtitle>Recherches économiques de Louvain</jtitle><date>1992-01-01</date><risdate>1992</risdate><volume>58</volume><issue>3/4</issue><spage>473</spage><epage>486</epage><pages>473-486</pages><issn>0770-4518</issn><eissn>1782-1495</eissn><abstract>Ces dernières années ont vu apparaître dans la littérature de nombreuses preuves de la non-linéarité des séries temporelles telles que celles du PNB ou de la production. Dans cet article, nous cherchons à savoir s'il existe des non-linéarités dans l'indice de la production nette du secteur productif de la RFA. On applique 3 tests différents de nonlinéarité sur les séries stationnaires et deux de celles-ci s'avèrent clairement non-linéaires. Un recours à l'estimation d'un modèle SETAR, permet de saisir différemment ces non-linéairités détectées à l'étape précédente. In recent years there is evidence in the literature that various time series like GNP or production may be nonlinear. In this paper the question is examined whether there are non-linearities in the net production index for the producing sector of the FRG. Three different non-linearity tests are applied on the stationary series and two exhibit clear nonlinearities. Therefore a SETAR-model was estimated and it was able to capture all the previous inherent non-linearities.</abstract><cop>Louvain</cop><pub>De Boeck</pub><doi>10.1017/S0770451800044171</doi><tpages>14</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0770-4518 |
| ispartof | Recherches économiques de Louvain, 1992-01, Vol.58 (3/4), p.473-486 |
| issn | 0770-4518 1782-1495 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38486959 |
| source | International Bibliography of the Social Sciences (IBSS); JSTOR Archival Journals and Primary Sources Collection |
| subjects | Autoregressive models Business cycles Cyclical asymmetry Economic fluctuations Limit cycles Modelling Nonlinearity Null hypothesis Parametric models Part IV: Time Series Analysis of Output and Employment Production Skeleton Time series Time series models |
| title | Modelling Cyclical Asymmetry in a Production Series Using Threshold Autoregressive Models |
| url | http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-06T19%3A25%3A54IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-jstor_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Modelling%20Cyclical%20Asymmetry%20in%20a%20Production%20Series%20Using%20Threshold%20Autoregressive%20Models&rft.jtitle=Recherches%20%C3%A9conomiques%20de%20Louvain&rft.au=Kr%C3%A4ger,%20Horst&rft.date=1992-01-01&rft.volume=58&rft.issue=3/4&rft.spage=473&rft.epage=486&rft.pages=473-486&rft.issn=0770-4518&rft.eissn=1782-1495&rft_id=info:doi/10.1017/S0770451800044171&rft_dat=%3Cjstor_proqu%3E40724005%3C/jstor_proqu%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-c2339-5f2905c2c165b9ab4b88aa3b0b62085b413abb174a4201ba43626fd1bbae92273%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=1309843326&rft_id=info:pmid/&rft_jstor_id=40724005&rfr_iscdi=true |