Document Type: Research Paper
Author
- Erfan Mehregan
- Alireza Moradi *
Department of Management, Sharif University of Technology, Iran
Economic Department, Islamic Azad University, Kermanshah Branch, Kermanshah, Iran
Received: 11 May 2017 Accepted: 15 June 2017 Published: 01 September 2017
10.22034/MBT.2017.86983 XML Files
Abstract
This paper presents the results of an empirical investigation of business cycle nonlinearities and asymmetries in the Iranian economy. Seasonal Gross Domestic Products (GDP) time series are subjected to nonlinearity and asymmetry tests. The recessions and expansions states are modeled with Markov-Switching Autoregressive models (MSM). The paper shows that allowing for three regimes for the finding of asymmetry and nonlinearity in Iranian business cycle fluctuations. The paper also provides evidence on the usefulness of a non-linear model as compared with a linear alternative in the context of business cycle research in an emerging economy using LR test.
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