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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Citation Formats

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.