Details

Autor(en) / Beteiligte

• DeJong, David N
• Liesenfeld, Roman
• Richard, Jean-François

Titel

A nonlinear forecasting model of GDP growth

Ist Teil von

• The review of economics and statistics, 2005-11, Vol.LXXXVII (4), p.697-708

Erscheinungsjahr

2005

Link zum Volltext

Quelle

EBSCOhost Business Source Ultimate

Beschreibungen/Notizen

• We develop a model of GDP growth under which regime changes are triggered stochastically by an observable tension index, constructed as the geometric sum of deviations of actual GDP growth from a corresponding sustainable rate. Within expansionary regimes, the tension index tends to increase, which heightens the probability of a regime change. Given a regime change, the process becomes reversed, and the tension index begins to decline along a newly established path. Linking the behavior of the tension index to GDP growth enables us to capture floor and ceiling effects. Reprinted by permission of the MIT Press