AN EXAMINATION OF SOME SAMPLE PATH PROPERTIES OF U.S. ECONOMIC TIME SERIES (UNITED STATES).
Item
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Title
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AN EXAMINATION OF SOME SAMPLE PATH PROPERTIES OF U.S. ECONOMIC TIME SERIES (UNITED STATES).
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Identifier
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AAI8629716
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identifier
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8629716
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Creator
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MCNEVIN, BRUCE DAVID.
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Contributor
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Salih N. Neftci
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Date
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1986
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Language
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English
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Publisher
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City University of New York.
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Subject
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Economics, General
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Abstract
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This thesis examines several sample path properties of U.S. economic time series. Primary emphasis is placed on determining the extent to which asymmetry exists in U.S. production data. Using a procedure based on the theory of discrete Markov processes, tests are performed at the industry and industry group level for a broad spectrum of the capital goods producing sector of the U.S. economy. The test results provide clear, through not overwhelming, evidence of asymmetry. In general, for the eight longest time series studied, the null hypothesis is rejected, with an 85% level of confidence, 25 - 40% of the time, depending upon the procedure used to detrend the series.;This thesis also examines two other topics relating to asymmetry and U.S. economic time series. First, a hypothesis which purports to explain why asymmetry is found in U.S. unemployment data, is put to a test. The test involves examining the relationship between the paths of industry level employment and production series at various phases of the business cycle. The test results provide weak support for the hypothesis. Second, tests are performed to determine whether or not there has been secular change in the degree of asymmetry found in U.S. economic times series. Tests on six major U.S. production series fail to detect any such change.
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Type
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dissertation
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Source
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PQT Legacy CUNY.xlsx
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degree
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Ph.D.
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Program
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Economics
