Reproducing Business Cycle Features: How Important Is Nonlinearity Versus Multivariate Information?
AbstractIn this paper, we consider the ability of time-series models to generate simulated data that display the same business cycle features found in U.S. real GDP. Our analysis of a range of popular time-series models allows us to investigate the extent to which multivariate information can account for the apparent univariate evidence of nonlinear dynamics in GDP. We find that certain nonlinear specifications yield an improvement over linear models in reproducing business cycle features, even when multivariate information inherent in the unemployment rate, inflation, interest rates, and the components of GDP is taken into account.
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Bibliographic InfoPaper provided by Wesleyan University, Department of Economics in its series Wesleyan Economics Working Papers with number 2009-003.
Length: 33 pages
Date of creation: May 2009
Date of revision:
Find related papers by JEL classification:
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-06-10 (All new papers)
- NEP-BEC-2009-06-10 (Business Economics)
- NEP-CBA-2009-06-10 (Central Banking)
- NEP-ECM-2009-06-10 (Econometrics)
- NEP-MAC-2009-06-10 (Macroeconomics)
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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- Reproducing business cycle features: what for?
by Economic Logician in Economic Logic on 2009-06-29 18:22:00
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