A Nonlinear Approach to US GNP

Simon Potter

Journal of Applied Econometrics, 1995, vol. 10, issue 2, 109-25

Abstract: A univariate nonlinear model is estimated for US GNP that on many criteria outperforms standard linear models. The estimated model is of the threshold autoregressive type and contains evidence of asymmetric effects of shocks over the business cycle. In particular the nonlinear model suggests that the post-1945 US economy is significantly more stable than the pre-1945 US economy. Copyright 1995 by John Wiley & Sons, Ltd.

Date: 1995
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Working Paper: A Nonlinear Approach to U.S. GNP (1993)
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