ISSN:
1435-8921
Keywords:
Linearity testing
;
nonlinear time series
;
smooth transition autoregressive model
;
structural change
;
univariate time series
;
C22
;
E32
;
E37
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract This paper considers modelling the annual logarithmed per capita gross national product of the United States in 1889–1987. Some authors have suggested that the parameters of the process generating the data have changed over time but formal parameter constancy tests do not support this argument. The series turns out to be nonlinear and can be adequately characterized by an exponential smooth transition autoregressive model. For comparison, a detrended series is also considered, found nonlinear and modelled using a logistic smooth transition autoregressive model. The behaviour of the estimated models is discussed, and it is seen that nonlinearity is needed to describe the response of the process to exceptionally large exogenous shocks. The properties of the models are further investigated by forecasting several years ahead, and the forecasts are compared with those from other linear and nonlinear models.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01206058
