Nonlinear autoregressive leading indicator models of output in G-7 countries
This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G-7 countries. Our models use the spread between short-term and long-term interest rates as leading indicators for GDP. We examine data admissibility by determining whether these models have the ability to produce time series with classical cycles that resemble the observed classical cycles in the data, and then we ask whether this data admissibility lends itself to better predictions of the probability of recession. Copyright © 2007 John Wiley & Sons, Ltd.
Year of publication: |
2007
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Authors: | Athanasopoulos, George ; Anderson, Heather M. ; Vahid, Farshid |
Published in: |
Journal of Applied Econometrics. - John Wiley & Sons, Ltd.. - Vol. 22.2007, 1, p. 63-87
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Publisher: |
John Wiley & Sons, Ltd. |
Saved in:
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