This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Nonlinear Dynamics and European GNP Data

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Domenico Delli Gatti (Università Cattolica)
Mauro Gallegati (Università di Teramo)
Domenico Mignacca (Società Interbancaria)

Additional information is available for the following registered author(s):

Abstract

The aim of this paper is to assess whether the data-generation process of the GDP can be interpreted by means of a nonlinear model instead of a linear one. We model the first differences of logarithmic real GDP data with constant parameters for those European countries (France, Germany, Italy, U.K., Denmark, Sweden, and Norway) which have long-term time series. Since the linear autoregressive model is rejected, an alternative nonlinear model has been specified: it turns out that the annual European GDPs can adequately be described by means of a nonlinear model with constant parameters.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.bepress.com/cgi/viewcontent.cgi?article=1040&context=snde
File Format: application/pdf
File Function:
Download Restriction: Subscription to the journal may be required to access full texts.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 3 (1998)
Issue (Month): 1 ()
Pages: 43-59
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bep:sndecm:3:1998:1:43-59

Note: oai:bepress:snde-1040
Contact details of provider:
Web page: http://www.bepress.com/snde/

Order Information:
Web: http://www.bepress.com/subscriptions.html

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: nonlinearity data-generation process European GNP smooth transition autogressive models

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38. [Downloadable!] (restricted)
  2. Liu, T & Granger, C W J & Heller, W P, 1992. "Using the Correlation Exponent to Decide whether an Economic Series is Chaotic," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S25-39, Suppl. De. [Downloadable!] (restricted)
  3. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June. [Downloadable!] (restricted)
  4. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-27, June.
  5. Olivier J. Blanchard & Lawrence H. Summers, 1986. "Hysteresis and the European Unemployment Problem," Working papers 427, Massachusetts Institute of Technology (MIT), Department of Economics.
    Other versions:
  6. J. Bradford De Long & Lawrence H. Summers, 1986. "The Changing Cyclical Variability of Economic Activity in the United States," NBER Working Papers 1450, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June. [Downloadable!] (restricted)
    Other versions:
  8. W. A. Broock & J. A. Scheinkman & W. D. Dechert & B. LeBaron, 1996. "A test for independence based on the correlation dimension," Econometric Reviews, Taylor and Francis Journals, vol. 15(3), pages 197-235. [Downloadable!] (restricted)
  9. repec:fth:guelph:1988-15 is not listed on IDEAS
  10. Frank, Murray & Gencay, Ramazan & Stengos, Thanasis, 1988. "International chaos?," European Economic Review, Elsevier, vol. 32(8), pages 1569-1584, October. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? RePEc also has a blog.

This page was last updated on 2008-11-19.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.