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

George Athanasopoulos (), Heather Anderson and Farshid Vahid

Journal of Applied Econometrics, 2007, vol. 22, issue 1, 63-87

Abstract: 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 ability to produce time series with classical cycles that resemble the observed classical cycles in the data, and then we ask whether this data admissibility lends itself to better predictions of the probability of recession. Copyright © 2007 John Wiley & Sons, Ltd.

Date: 2007
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Related works:
Working Paper: Nonlinear autoregressive leading indicator models of output in G-7 countries (2006)
Working Paper: Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries (2002)
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DOI: 10.1002/jae.935

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