Vector smooth transition regression models for US GDP and the composite index of leading indicators

Maximo Camacho

Journal of Forecasting, 2004, vol. 23, issue 3, 173-196

Abstract: In this paper, I extend to a multiple-equation context the linearity, model selection and model adequacy tests recently proposed for univariate smooth transition regression models. Using this result, I examine the nonlinear forecasting power of the Conference Board composite index of leading indicators to predict both output growth and the business-cycle phases of the US economy in real time. Copyright © 2004 John Wiley & Sons, Ltd.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:23:y:2004:i:3:p:173-196

DOI: 10.1002/for.912

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