Vector smooth transition regression models for US GDP and the composite index of leading indicators
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.
Volume (Year): 23 (2004)
Issue (Month): 3 ()
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