Athanasopoulos, George; Anderson, Heather M.; Vahid, Farshid - In: Journal of Applied Econometrics 22 (2007) 1, pp. 63-87
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...