Hostname: page-component-745bb68f8f-d8cs5 Total loading time: 0 Render date: 2025-02-11T17:18:15.527Z Has data issue: false hasContentIssue false

OVERVIEW OF NONLINEAR MACROECONOMETRIC EMPIRICAL MODELS

Published online by Cambridge University Press:  21 November 2002

Clive W.J. Granger
Affiliation:
University of California, San Diego
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

A survey of nonlinear multivariate macro empirical models is attempted. Although theory may suggest that nonlinearity is to be expected, empirical studies have difficulty in discovering strong consistent effects. Regime switching techniques appear to be the most successful and evidence of nonlinearity is most found for interest rates. Most of the studies emphasize model fitting rather than model evaluation, which limits their usefulness.

Type
Research Article
Copyright
© 2001 Cambridge University Press