Characterizing nonlinearities in business cycles using smooth transition autoregressive models
用平滑转换自回归模型刻画商业周期非线性
During the past few years investigators have found evidence indicating that various time-series representing business cycles, such as production and unemployment, may be nonlinear. In this paper it is assumed that if the time-series is nonlinear, then it can be adequately described by a smooth transition autoregressive (STAR) model. The paper describes the application of these models to quarterly logarithmic production indices for 13 countries and "Europe." Tests reject…