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Some Methods for Assessing the Need for Non-Linear Models in Business Cycle Analysis

Engel, J; Haugh, David; Pagan, Adrian

Description

It is often suggested that non-linear models are needed to capture business cycle features. In this paper, we subject this view to some critical analysis. We examine two types of non-linear models designed to capture the bounce-back effect in US expansions. This means that these non-linear models produce an improved explanation of the shape of expansions over that provided by linear models. But this is at the expense of making expansions last much longer than they do in reality. Interestingly,...[Show more]

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
URI: http://hdl.handle.net/1885/83494
Source: International Journal of Forecasting
DOI: 10.1016/j.ijforecast.2005.04.013

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