search query: @author Terasvirta, T. / total: 3
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| Author: | Terasvirta, T. |
| Title: | Modelling nonlinearity in U.S. gross national product 1889-1987 |
| Journal: | Empirical Economics
1995 : VOL. 20:40, p. 577-598 |
| Index terms: | USA MODELS GROSS NATIONAL PRODUCT |
| Language: | eng |
| Abstract: | This paper considers modelling the annual logarithmed per capita gross national product of the United States in 1989-1987. Some authors have suggested that the parameters of the process generating the data have changed over time but formal parameter constancy tests do not support this argument. The series turns out to be nonlinear and can be adequately characterized by an exponential smooth transition autoregressive model. For comparison, a detrended series is also considered, found nonlinear and modelled using a logistic smooth transition autoregressive model. |
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