Business cycle non-linearities in UK consumption and production
用平滑转移自回归模型分析英国实际消费和工业生产的商业周期特征，发现消费有两个周期状态（衰退和扩张），而工业生产有三个状态（衰退、正常增长和高增长），且两状态模型在收缩期有更好的预测能力。
This paper develops non-linear smooth transition autoregressive (STAR) models with two additive smooth transition components to capture the business cycle characteristics of UK real consumers' expenditure and industrial production. The results indicate consumption has essentially two business cycle regimes: recession and expansion. Industrial production, however, is characterized by the three regimes of recession, normal growth and high growth. The transitions describing recovery from recession are very similar for the two variables. Stochastic simulations illustrate the dynamic responses of these models and emphasize that they are locally linear. Our results also indicate that the two-transition STAR models have some forecast advantages over other specifications for periods of contraction. Copyright © 2000 John Wiley & Sons, Ltd.