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

✍ Scribed by Heather M. Anderson; George Athanasopoulos; Farshid Vahid

Publisher: John Wiley and Sons
Year: 2007
Tongue: English
Weight: 216 KB
Volume: 22
Category: Article
ISSN: 0883-7252
DOI: 10.1002/jae.935

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✦ Synopsis

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.

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## Abstract The delayed release of the National Account data for GDP is an impediment to the early understanding of the economic situation. In the short run, this information gap may be at least partially eliminated by bridge models (BM) which exploit the information content of timely updated month