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Nonlinear Autoregressive Leading Indicator Models of Output in G7 Countries

Anderson, Heather; Vahid, Farshid; Athanasopoulos, George

Description

This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G-7 countries. Our models use the spread between short-term and long-term interest rates as leading indicators for GDP. We examine data admissibility by

dc.contributor.authorAnderson, Heather
dc.contributor.authorVahid, Farshid
dc.contributor.authorAthanasopoulos, George
dc.date.accessioned2015-12-07T22:19:37Z
dc.identifier.issn0883-7252
dc.identifier.urihttp://hdl.handle.net/1885/19426
dc.description.abstractThis paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G-7 countries. Our models use the spread between short-term and long-term interest rates as leading indicators for GDP. We examine data admissibility by
dc.publisherJohn Wiley & Sons Inc
dc.sourceJournal of Applied Econometrics
dc.titleNonlinear Autoregressive Leading Indicator Models of Output in G7 Countries
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume22
dc.date.issued2007
local.identifier.absfor140212 - Macroeconomics (incl. Monetary and Fiscal Theory)
local.identifier.absfor140305 - Time-Series Analysis
local.identifier.ariespublicationu4137903xPUB8
local.type.statusPublished Version
local.contributor.affiliationAnderson, Heather, College of Business and Economics, ANU
local.contributor.affiliationVahid, Farshid, College of Business and Economics, ANU
local.contributor.affiliationAthanasopoulos, George, Monash University
local.description.embargo2037-12-31
local.bibliographicCitation.startpage63
local.bibliographicCitation.lastpage87
local.identifier.doi10.1002/jae.935
dc.date.updated2015-12-07T08:38:35Z
local.identifier.scopusID2-s2.0-33947686591
CollectionsANU Research Publications

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