Nonlinear autoregressive leading indicator models of output in G-7 countries

Heather Anderson, George Athanasopoulos (george.athanasopoulos@monash.edu) and Farshid Vahid

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G7 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 if this data admissibility lends itself to better predictions of the probability of recession.

JEL-codes: C22 C23 E17 E37 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2006-04
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Related works:
Journal Article: Nonlinear autoregressive leading indicator models of output in G-7 countries (2007)
Working Paper: Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2006-14

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