A nonlinear approach to US GNP
Article first published online: 7 NOV 2006
Copyright © 1995 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Volume 10, Issue 2, pages 109–125, April/June 1995
How to Cite
Potter, S. M. (1995), A nonlinear approach to US GNP. J. Appl. Econ., 10: 109–125. doi: 10.1002/jae.3950100203
- Issue published online: 7 NOV 2006
- Article first published online: 7 NOV 2006
- Manuscript Revised: MAY 1994
- Manuscript Received: FEB 1993
- Graduate School of the University of Wisconsin and the Academic State, UCLA
A univariate nonlinear model is estimated for US GNP that on many criteria outperforms standard linear models. The estimated model is of the threshold autoregressive type and contains evidence of asymmetric effects of shocks over the business cycle. In particular the nonlinear model suggests that the post-1945 US economy is significantly more stable than the pre-1945 US economy.