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Cross country evidence on nonlinearity in industrial production between the wars

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  • J. D. Byers
  • D. A. Peel

Abstract

We use the BDS statistic to test for unmodelled structure in the linearly filtered industrial production figures for Canada, France, Japan and the USA between 1919 and 1930. The i.i.d. null is rejected for France and Japan though there is other evidence for nonlinearity in the remaining series. In particular, we are able to fit self-exciting threshold autoregression (SETAR) models to each series.

Suggested Citation

  • J. D. Byers & D. A. Peel, 1994. "Cross country evidence on nonlinearity in industrial production between the wars," Applied Economics Letters, Taylor & Francis Journals, vol. 1(5), pages 77-80.
  • Handle: RePEc:taf:apeclt:v:1:y:1994:i:5:p:77-80
    DOI: 10.1080/135048594358186
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    Cited by:

    1. 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.
    2. Corinne Perraudin, 1995. "La dynamique asymétrique de l'emploi au cours du cycle," Économie et Prévision, Programme National Persée, vol. 120(4), pages 121-139.

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