Abstract
Persistence of shocks to economic time series may differ depending on the sign of the shock or on a threshold value. Threshold moving average (TMA) models, by explicitly taking into account threshold behavior, can help discriminate whether there exists persistence asymmetry. This article considers TMA models in which both contemporaneous and lagged asymmetric effects are both present and examines the properties of simulation-based efficient method of moments estimation using Monte Carlo simulation experiments. The model is applied to analyze the persistence properties of shocks to growth rates of gross domestic product and industrial production index in Turkish economy.
Keywords
Econometrics
Asymmetry
Business cycle
Economics
Monte Carlo method
Sign (mathematics)
Shock (circulatory)
Persistence (discontinuity)
Threshold model
Turkish
Gross domestic product
Mathematics
Value (mathematics)
Estimation
Statistics
Statistical physics
Physics
Engineering
Macroeconomics
Mathematical analysis
Subject Areas
Monetary Policy and Economic Impact
·General Economics, Econometrics and Finance ·Social Sciences
Market Dynamics and Volatility
·Economics and Econometrics ·Social Sciences
Global Financial Crisis and Policies
·Finance ·Social Sciences
Citations by Year
2021: 1
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