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

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  • Maximo Camacho

    (Universidad de Murcia, Spain)

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.

Suggested Citation

  • Maximo Camacho, 2004. "Vector smooth transition regression models for US GDP and the composite index of leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 173-196.
    • Handle: RePEc:jof:jforec:v:23:y:2004:i:3:p:173-196
    DOI: 10.1002/for.912
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