Nonlinear autoregressive leading indicator models of output in G-7 countries

Heather M. Anderson*, George Athanasopoulos, Farshid Vahid

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    18 Citations (Scopus)


    This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G-7 countries. Our models use the spread between short-term and long-term interest rates as leading indicators for GDP. We examine data admissibility by determining whether these models have the ability to produce time series with classical cycles that resemble the observed classical cycles in the data, and then we ask whether this data admissibility lends itself to better predictions of the probability of recession.

    Original languageEnglish
    Pages (from-to)63-87
    Number of pages25
    JournalJournal of Applied Econometrics
    Issue number1
    Publication statusPublished - Jan 2007


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