Vector Smooth Transition Regression Models for US GDP and the Composite index of Leading Indicators
نویسنده
چکیده
In this paper, I extend to a multiple-equation context the linearity, model selection, and model adequacy tests recently proposed for univariate Smooth Transition Regression models. Using this result, I examine the nonlinear forecasting power of the Conference Board Composite index of Leading Indicators to predict both output growth and the business-cycle phases of the U.S. economy in real time.
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