Modelling nonlinearities in GDP. Some diferences between us and spanish data

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Show simple item record Martínez, José Manuel Espasa, Antoni
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística 2010-01-04T10:58:17Z 2010-01-04T10:58:17Z 1998-03
dc.description.abstract This paper studies the dynamic behaviour of US and Spanish GDP constructing final form (univariate) models, which can explain the non-linear aspects to be found in the trend and cyclical component of the mentioned aggregates. The main directions of research into switching regime models and the main results obtained in their application to the United States GDP are discussed. The option taken in this paper is to develop on the TAR models followed by Tiao and Tsay (1994) with two useful modifications. The nonlinear model for Spanish GDP distinguishes three different regimes and fits the data and forecast better than lineal models. The nonlinear model for US considers four regimes and fits similar than linear models, is stable and its forecasting performance is better or worse than the one obtained with linear models depending on the presence of recessions in the period of forecasting. But linear models for US GDP must be discarded because are unstable. This, in turn, emphasises the interest for nonlinear models. The US and Spanish business cycles shows similarities in the sense that both economies enter into recession as a result of negative shocks, expansions show short cyclical oscillations, periods of recovery after a recession are abrupt and there is evidence of positive duration dependence in recessions. Nevertheless, while US GDP shows a dynamic behaviour that pushes the economy out of recessions, Spanish GDP requires the help of positive shocks. Net exports and possibly the competitiveness of exports may play a highly important role in the Spanish business cycle and inventory investment could be the main factor in the case of US. The evidence of positive duration dependence is not strong enough for US expansions while in the case of Spanish expansions this effect could have a U-shape.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 98-60-28
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.subject.other Business Cycle
dc.subject.other SETAR
dc.subject.other Segmented Means
dc.subject.other Unit Roots
dc.subject.other Switching regimes
dc.subject.other Asymmetry
dc.subject.other Limit Cycle
dc.title Modelling nonlinearities in GDP. Some diferences between us and spanish data
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.affiliation.dpto UC3M. Departamento de Estadística
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