Some Methods for Assessing the Need for Non-linear Models in Business Cycle Analysis and Forecasting
نویسندگان
چکیده
1 Setting the Scene . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 2 Measuring the Cycle . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 2.1 The Average Cycle . . . . . . . . . . . . . . . . . . . . . . . . . . 3 2.2 The Diversity of Cycles . . . . . . . . . . . . . . . . . . . . . . . . 6 2.3 The Transition Between Phases . . . . . . . . . . . . . . . . . . . 7 3 Accounting for the Cycle with Statistical Models . . . . . . . . . . . . . 9 3.1 The Value of Linear Models . . . . . . . . . . . . . . . . . . . . . 9 3.2 The Value of a SETAR Model . . . . . . . . . . . . . . . . . . . . 12 3.3 The Value of a Bounce-back Model . . . . . . . . . . . . . . . . . 15 3.3.1 The Cycle Characteristics of the Model . . . . . . . . . . . 15 3.3.2 A Look at MS Models with the Bounceback Model . . . . 17 3.4 The Value of a Tension Indicator Model . . . . . . . . . . . . . . 19 4 Can Non-linear Cycle Models Improve Forecasts? . . . . . . . . . . . . 20 5 References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
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