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.

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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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Extent:	application/pdf
Type of publication:	Article
Notes:	oai:bepress:
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004966147