Vector smooth transition regression models for US GDP and the composite index of leading indicators

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.

MoreLess

Year of publication:	2004
Authors:	Camacho, Maximo
Published in:	Journal of Forecasting. - John Wiley & Sons, Ltd.. - Vol. 23.2004, 3, p. 173-196
Publisher:	John Wiley & Sons, Ltd.

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005635545