Business Cycle Asymmetries
为马尔可夫转换自回归模型开发了商业周期不对称性检验，包括深度、陡度和尖度检验，并应用于美国GNP、投资和消费增长数据，考察了模型误设和异方差的影响。
Tests for business cycle asymmetries are developed for Markov-switching autoregressive models. The tests of deepness, steepness, and sharpness are Wald statistics, which have standard asymptotics. For the standard two-regime model of expansions and contractions, deepness is shown to imply sharpness (and vice versa), whereas the process is always nonsteep. Two and three-state models of U.S. GNP growth are used to illustrate the approach, along with models of U.S. investment and consumption growth. The robustness of the tests to model misspecification, and the effects of regime-dependent heteroscedasticity, are investigated.