This is the first paper in the literature to match key business cycle moments and long-run equity returns in a small open economy with production. These results are achieved by introducing three modications to a standard real business cycle model: (1) borrowing and lending costs are imposed to...

In this paper we use smooth transition vector error-correction models (STVECMs) in a simulated out-of-sample forecasting experiment for the unemployment rates of the four non-Euro G-7 countries, the U.S., the U.K., Canada, and Japan. For the U.S., pooled forecasts constructed by taking the...

Building upon Beaudry and Koop's (1993) analysis, we consider a "current depth of the recession" (CDR) variable in modeling the time-series behavior of the postwar quarterly U.S. unemployment rate. The CDR approach is consistent with the state-dependent behavior in the unemployment rate...

Asymmetric behavior has been documented in postwar quarterly U.S. unemployment rates. This suggests that improvement over conventional linear forecasts may be possible through the use of nonlinear time-series models. In this note an out-of-sample forecasting competition is carried out for a set...

The problem of business-cycle symmetry is addressed within the context of time reversibility. To this effect, the authors introduce a time domain test of time reversibility, the TR test. In an application, they show that time irreversibility is the rule rather than the exception for two...

Several recent attempts have been made to test for chaos in economic time series through dimension calculations. Relative to the large data sets used in the natural sciences, economic time series are small. Using a procedure developed by J. B. Ramsey and H. Yuan, the authors show that, with the...