EconPapers    
Economics at your fingertips  
 

Business cycle non-linearities in UK consumption and production

Nadir Ocal and Denise Osborn ()
Additional contact information
Nadir Ocal: Department of Economics, Middle East Technical University, Odtu, Ankara, Turkey, Postal: Department of Economics, Middle East Technical University, Odtu, Ankara, Turkey

Journal of Applied Econometrics, 2000, vol. 15, issue 1, 27-43

Abstract: This paper develops non-linear smooth transition autoregressive (STAR) models with two additive smooth transition components to capture the business cycle characteristics of UK real consumers' expenditure and industrial production. The results indicate consumption has essentially two business cycle regimes: recession and expansion. Industrial production, however, is characterized by the three regimes of recession, normal growth and high growth. The transitions describing recovery from recession are very similar for the two variables. Stochastic simulations illustrate the dynamic responses of these models and emphasize that they are locally linear. Our results also indicate that the two-transition STAR models have some forecast advantages over other specifications for periods of contraction. Copyright © 2000 John Wiley & Sons, Ltd.

Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42) Track citations by RSS feed

Downloads: (external link)
http://qed.econ.queensu.ca:80/jae/2000-v15.1/ Supporting data files and programs (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jae:japmet:v:15:y:2000:i:1:p:27-43

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

 
Page updated 2019-07-28
Handle: RePEc:jae:japmet:v:15:y:2000:i:1:p:27-43