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Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models

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  • Terasvirta, T
  • Anderson, H M

Abstract

During the past few years investigators have found evidence indicating that various time-series representing business cycles, such as production and unemployment, may be nonlinear. In this paper it is assumed that if the time-series is nonlinear, then it can be adequately described by a smooth transition autoregressive (STAR) model. The paper describes the application of these models to quarterly logarithmic production indices for 13 countries and "Europe." Tests reject linearity for most of these series, and estimated.STAR models indicate that the nonlinearity is needed mainly to describe the responses of production to large negative shocks such as oil price shocks. Copyright 1992 by John Wiley & Sons, Ltd.

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  • Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 119-136, Suppl. De.
  • Handle: RePEc:jae:japmet:v:7:y:1992:i:s:p:s119-36
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    1. Hall, A. D., 1990. "Worldwide Rankings of Research Activity in Econometrics: An Update: 1980–1988," Econometric Theory, Cambridge University Press, vol. 6(01), pages 1-16, March.
    2. Daniel S. Hamermesh, 1991. "The Appointment-Book Problem and Commitment, With Applications to Refereeing and Medicine," NBER Working Papers 3928, National Bureau of Economic Research, Inc.
    3. Yohe, Gary W, 1980. "Current Publication Lags in Economics Journals," Journal of Economic Literature, American Economic Association, vol. 18(3), pages 1050-1055, September.
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