linear specifications are usually adopted. Yet it is uncertain whether standard linear models provide the proper statistical … the analysis with linear models, by averaging out country specific shocks. But the method of construction of the aggregate …-varying models to aggregate EMU macroeconomic variables, and compare them with linear specifications. Since non-linear models often …

found in US post-war consumption, investment and output is compared to that of linear models. Univariate MS models appear to … offer more dynamically parsimonious representations, but generally are unable to reproduce features missed by linear models …