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Nonlinear Dynamics and European GNP Data

The aim of this paper is to assess whether the data-generation process of the GDP can be interpreted by means of a nonlinear model instead of a linear one. We model the first differences of logarithmic real GDP data with constant parameters for those European countries (France, Germany, Italy, U.K., Denmark, Sweden, and Norway) which have long-term time series. Since the linear autoregressive model is rejected, an alternative nonlinear model has been specified: it turns out that the annual European GDPs can adequately be described by means of a nonlinear model with constant parameters.
Year of publication:
2007
Authors: Gatti, Domenico Delli ; Gallegati, Mauro ; Mignacca, Domenico
Published in:
Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 3.2007, 1, p. 43-59
Publisher: Berkeley Electronic Press
Subject: nonlinearity | data-generation process | European GNP | smooth transition autogressive models
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Type of publication: Article
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