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Nonlinear models, composite longer leading indicator and forecasts for UK real GDP
Date
2006-05-20
Author
Ocal, N
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This paper examines the role of the Office for National Statistics Composite Longer Leading Indicator, in nonlinear business cycle models for growth rates of UK real gross domestic product (GDP). These models are of the smooth transition regression class, with the transition between "regimes'' expressed as functions of lagged changes in the leading indicator. In general, evidence is found of business cycle regime asymmetries, with increases and decreases in the leading indicator implying distinct responses for the dependent variable. Single transition function appears to capture these asymmetries satisfactorily. Nonlinear models provide more accurate one-step ahead forecasts than corresponding linear leading indicator models.
Subject Keywords
Economics and Econometrics
URI
https://hdl.handle.net/11511/64274
Journal
APPLIED ECONOMICS
DOI
https://doi.org/10.1080/00036840500399784
Collections
Natural Sciences and Mathematics, Article
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N. Ocal, “Nonlinear models, composite longer leading indicator and forecasts for UK real GDP,”
APPLIED ECONOMICS
, pp. 1049–1053, 2006, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/64274.