nonlinearity across economic variables. The model is a multivariate censored latent effects autoregression. The key feature of this … model is that nonlinearity appears as separate innovation-like variables. Common nonlinearity can then be easily defined as … not the other way around, and also that there is no common nonlinearity across the unemployment variables. …

Outliers and nonlinearity may easily be mistaken. This paper uses Monte Carlo methods to examine and compare the …