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

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Author Info

  • George Athanasopoulos

    (Department of Econometrics and Business Statistics, Monash University, Clayton, Australia)

  • Heather M. Anderson

    (School of Economics, Australian National University, Canberra, Australia)

  • Farshid Vahid

    (School of Economics, Australian National University, Canberra, Australia)

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.

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File URL: http://hdl.handle.net/10.1002/jae.935
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 22 (2007)
Issue (Month): 1 ()
Pages: 63-87

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Handle: RePEc:jae:japmet:v:22:y:2007:i:1:p:63-87

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Cited by:
  1. Ralf Becker & Denise Osborn, 2007. "Weighted smooth transition regressions," The School of Economics Discussion Paper Series 0724, Economics, The University of Manchester.

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