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• W118049015 abstract "This paper examines the existence of time series non-linearity in the real output growth / recession-term spread relationship. Vector Autoregression (VAR), Threshold VAR (TVAR), Structural break VAR (SBVAR), Structural break threshold VAR (SBTVAR) are applied in the analysis. The in-sample results indicate there are non-linear components in this relationship. And this non-linearity tend to be caused by structural breaks. The best in-sample model also shows its robustness on arrival of new information in the out-of-sample tests. We find evidence the model with only structural break non-linearity outperform linear models in 1-quarter, 3-quarter and 4-quarter ahead forecasting." @default.
• W118049015 created "2016-06-24" @default.
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• W118049015 date "2013-06-01" @default.
• W118049015 modified "2023-09-27" @default.
• W118049015 title "Time series non-linearity in the real growth / recession-term spread relationship" @default.
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• W118049015 hasPublicationYear "2013" @default.
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