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

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Author Info
Maximo Camacho (Universidad de Murcia, Spain)

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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.

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File URL: http://hdl.handle.net/10.1002/for.912
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 23 (2004)
Issue (Month): 3 ()
Pages: 173-196
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Handle: RePEc:jof:jforec:v:23:y:2004:i:3:p:173-196

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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  1. Camacho, Maximo & Pérez-Quirós, Gabriel, 2005. "Jump-and-Rest Effects of US Business Cycles," CEPR Discussion Papers 4975, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  2. Amalia Morales Zumaquero & Simón Sosvilla Rivero, 2005. "Structural Breaks in Volatility: Evidence for the OECD Real Exchange Rates," Economic Working Papers at Centro de Estudios Andaluces E2005/01, Centro de Estudios Andaluces. [Downloadable!]
    Other versions:
  3. Jonas Dovern & Christina Ziegler, 2008. "Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators Under Real-Time Conditions," Kiel Working Papers 1397, Kiel Institute for the World Economy. [Downloadable!]
  4. John W. Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Working Papers 07-1, Bank of Canada. [Downloadable!]
  5. Égert, Balázs & Morales-Zumaquero, Amalia, 2005. "Exchange rate regimes, foreign exchange volatility and export performance in Central and Eastern Europe: Just another blur project?," BOFIT Discussion Papers 8/2005, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    Other versions:
  6. Jesús Rodríguez López & José Luis Torres Chacón, 2006. "Following the yellow brick road? The Euro, the Czech Republic, Hungary and Poland," Working Papers 06.12, Universidad Pablo de Olavide, Departamento de Economía. [Downloadable!]
    Other versions:
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