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A nonlinear approach to US GNP
Author(s) -
Potter Simon M.
Publication year - 1995
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.3950100203
Subject(s) - autoregressive model , business cycle , univariate , nonlinear system , econometrics , economics , mathematics , statistics , macroeconomics , multivariate statistics , physics , quantum mechanics
Abstract 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.