Cross country evidence on nonlinearity in industrial production between the wars

David Byers and David Peel

Applied Economics Letters, 1994, vol. 1, issue 5, 77-80

Abstract: We use the BDS statistic to test for unmodelled structure in the linearly filtered industrial production figures for Canada, France, Japan and the USA between 1919 and 1930. The i.i.d. null is rejected for France and Japan though there is other evidence for nonlinearity in the remaining series. In particular, we are able to fit self-exciting threshold autoregression (SETAR) models to each series.

Date: 1994
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DOI: 10.1080/135048594358186

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