IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v2y1995i11p422-427.html
   My bibliography  Save this article

Nonlinearities in business cycle: SETAR models and G7 industrial production data

Author

Listed:
  • Mauro Gallegati
  • Domenico Mignacca

Abstract

In this paper we enquire if nonlinear or linear models produce iid residuals using the BDS test for the G7 industrial production series. We found that nonlinear models produce iid residual for the USA, and evidence of NL are also detected for Canada and Germany, while Japanese data does not reject the alternatives, and the L model is rejected for Italy, France and the UK. On this evidence, 'white chaos' data generation processes cannot be rejected. We evaluate the linear and nonlinear impulse response functions finding that: long-run multipliers are smaller for European countries; long-run asymmetries are evident for the USA, Canada and West Germany. Differently from previous research, our results show that the non-linear hypothesis has to be taken seriously, but with some caution because of not entirely satisfactory forecast performance and asymmetries (this is especially true for the US series). On the other hand, the hypothesis of linearity can be rejected with greater confidence, since it almost always fails to encompass the alternative.

Suggested Citation

  • Mauro Gallegati & Domenico Mignacca, 1995. "Nonlinearities in business cycle: SETAR models and G7 industrial production data," Applied Economics Letters, Taylor & Francis Journals, vol. 2(11), pages 422-427.
    • Handle: RePEc:taf:apeclt:v:2:y:1995:i:11:p:422-427
    DOI: 10.1080/135048595356989
    as

    Download full text from publisher

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/135048595356989&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/135048595356989?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Mignacca, D. & Gallegati, M., 1994. "Is US Real GNP Chaotic? On Using the BDS Test to Decide Whether an ARMA Model for US GNP Generates I.I.D. Residuals," Working papers 9421, Wisconsin Madison - Social Systems.
    2. Domenico Mignacca & Mauro Gallegati, 1994. "Is US Real GNP Chaotic? On Using the BDS test to Decide Whether an ARMA Model forthe US GNP Genreates I.I.D. Residuals," International Finance 9410002, University Library of Munich, Germany, revised 09 Nov 1994.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gallegati, Mauro & Kirman, Alan, 2019. "20 years of WEHIA: A journey in search of a safer road," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 5-14.
    2. Hui Feng & Jia Liu, 2003. "A SETAR model for Canadian GDP: non-linearities and forecast comparisons," Applied Economics, Taylor & Francis Journals, vol. 35(18), pages 1957-1964.
    3. Hui Feng, 2005. "Real-Time or Current Vintage: Does the Type of Data Matter for Forecasting and Model Selection?," Econometrics Working Papers 0515, Department of Economics, University of Victoria.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.

      More about this item

      Statistics

      Access and download statistics

      Corrections

      All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:2:y:1995:i:11:p:422-427. See general information about how to correct material in RePEc.

      If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

      If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

      If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

      For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

      Please note that corrections may take a couple of weeks to filter through the various RePEc services.

      IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.