Nonlinear Dynamics and European GNP Data
Domenico Delli Gatti (),
Mauro Gallegati () and
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Mignacca Domenico: Società Interbancaria
Studies in Nonlinear Dynamics & Econometrics, 1998, vol. 3, issue 1, 1-19
The aim of this paper is to assess whether the data-generation process of the GDP can be interpreted by means of a nonlinear model instead of a linear one. We model the first differences of logarithmic real GDP data with constant parameters for those European countries (France, Germany, Italy, U.K., Denmark, Sweden, and Norway) which have long-term time series. Since the linear autoregressive model is rejected, an alternative nonlinear model has been specified: it turns out that the annual European GDPs can adequately be described by means of a nonlinear model with constant parameters.
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