Nonlinear autoregressive leading indicator models of output in G-7 countries
Version of Record online: 13 MAR 2007
Copyright © 2007 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Volume 22, Issue 1, pages 63–87, January/February 2007
How to Cite
Anderson, H. M., Athanasopoulos, G. and Vahid, F. (2007), Nonlinear autoregressive leading indicator models of output in G-7 countries. J. Appl. Econ., 22: 63–87. doi: 10.1002/jae.935
- Issue online: 13 MAR 2007
- Version of Record online: 13 MAR 2007
- Manuscript Revised: 12 FEB 2006
- Manuscript Received: 12 FEB 2002
- Australian Research Council. Grant Number: A00103258
This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G-7 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 whether this data admissibility lends itself to better predictions of the probability of recession. Copyright © 2007 John Wiley & Sons, Ltd.