Abstract #301676

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JSM 2003 Abstract #301676
Activity Number: 365
Type: Contributed
Date/Time: Wednesday, August 6, 2003 : 10:30 AM to 12:20 PM
Sponsor: Business & Economics Statistics Section
Abstract - #301676
Title: Business Cycle Measurement with Smooth Transition Regression Models: The G-7 Case
Author(s): Jose R. Cancelo*+ and Estefania Mourelle
Companies: Universidade Da Coruna and Universidade Da Coruna
Address: C Puente 20 4-C, 15009 La Coruna, , , Spain
Keywords: nonlinear causality ; time series ; international cycles
Abstract:

Modeling nonlinear evolution has become the major source of concern in analyzing business cycle fluctuations. We adopt a smooth transition regression approach to describe the observed evolution of G-7 countries. First, we set up univariate models to assess whether they actually outperform linear autoregressions; next, we carry out tests for the between-country noncausality hypothesis that allow for nonlinear dynamics. From the methodological point of view the paper is highly influenced by Skalin and Teräsvirta (1999), although we depart from their approach in searching for specification in univariate representations. We also compare their additive model with smooth transition regressions where the changes in the parameters of the nonlinear transfer functions are driven by the dependent variable.

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