✦ LIBER ✦
Vector smooth transition regression models for US GDP and the composite index of leading indicators
✍ Scribed by Maximo Camacho
- Publisher
- John Wiley and Sons
- Year
- 2004
- Tongue
- English
- Weight
- 193 KB
- Volume
- 23
- Category
- Article
- ISSN
- 0277-6693
- DOI
- 10.1002/for.912
No coin nor oath required. For personal study only.
✦ Synopsis
Abstract
In this paper, I extend to a multiple‐equation context the linearity, model selection and model adequacy tests recently proposed for univariate smooth transition regression models. Using this result, I examine the nonlinear forecasting power of the Conference Board composite index of leading indicators to predict both output growth and the business‐cycle phases of the US economy in real time. Copyright © 2004 John Wiley & Sons, Ltd.