Marchese, Malvina (2010): Time series models of GDP: a reappraisal. Forthcoming in: Economia Internazionale : pp. 1-29.
Download (146kB) | Preview
We propose a model diagnostic device to compare different linear and non linear parametric time series models of real GDP business cycle.The comparison appears of remarkable economic importance since different models have very different implications in term of long run persistence of negative shocks on the level of aggregate output.On the basis of the proposed diagnostic six popular models of real GDP are compared in a Monte Carlo simulation.We find that SETAR models and three stages Markov-switching models significantlly overperform the other statistical representation of the series.Since the SETAR form of non linearity is far easier to handle for both estimation and testing we argue in their favour.
|Item Type:||MPRA Paper|
|Original Title:||Time series models of GDP: a reappraisal.|
|Keywords:||SETAR models, ARMA models, Markov-switching models, impulse response functions, residual based misspecification tests,busyness-cycle stylized facts|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General
|Depositing User:||malvina marchese|
|Date Deposited:||03. Feb 2012 17:19|
|Last Modified:||13. Sep 2015 07:25|
Campbell,J.Y, and N.G.Mankiw (1987): " Are output fluctuations transitory?" Quaterly Journal of Economics,102,857-880
Hamilton JD (1989): "A new approach to the economic analysis of nonstationary time series and the business cycle",Econometrica,57,357-384
Kim C.J. and J.Morley, and J.Piger(2005): "Nonlinearity and the permanent effect of recession",Journal of Applied Econometrics,20,291-309
Potter,S.M (1991): "A nonlinear approach to US GDP",Mimeo,University of Winsconsin Madison,Department of Economics