Second-order moments of frequency asymmetric cycles
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Miguel Artiach [1]
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[1] Universitat d'Alacant
Universitat d'Alacant
Alicante, España
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- Localización: Working papers = Documentos de trabajo: Serie AD, Nº. 27, 2011, págs. 1-55
- Idioma: inglés
- Enlaces
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Resumen
Second-order moments, as even functions in time, are conventionally regarded as containing no information about the time irreversible nature of a sequence and therefore about its frequency asymmetry. However, this paper shows that the frequency asymmetry produces a clearly distinct behaviour in second-order moments that can be observed in both the time domain and the frequency domain. In addition, a frequency domain method of estimation of the differing lengths of the recessionary and expansionary stages of a cycle is proposed and its finite sample performance evaluated. Finally, the asymmetric patterns in the waves of the US unemployment rate and in the sunspot index are analysed.
