James, Morley; Jeremy, Piger; Pao-Lin, Tien - In: Studies in Nonlinear Dynamics & Econometrics 17 (2013) 5, pp. 483-498
We consider the extent to which different time-series models can generate simulated data with the same business cycle features that are evident in US real GDP. We focus our analysis on whether multivariate linear models can improve on the previously documented failure of univariate linear models...