Nonlinear autoregressive leading indicator models of output in G-7 countries

Vol: 
14/2006
Author name: 
Anderson HM
Athanasopoulos G
Vahid F
Year: 
2006
Month: 
April
Abstract: 

This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G7 countries. Our models use the spread between short-term and long-term interest rates as leading indicators for GDP. We examine data admissibility by determining whether these models have the ability to produce time series with classical cycles that resemble the observed classical cycles in the data, and then we ask if this data admissibility lends itself to better predictions of the probability of recession.

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