Asymmetric time series and temporal aggregation

• 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.

Subject headings

SAMHÄLLSVETENSKAP  -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)

SOCIAL SCIENCES  -- Economics and Business -- Economics (hsv//eng)

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Keyword

MODELS

Publication and Content Type

ref (subject category)

art (subject category)