Modeling Nonlinearity of Business Cycles: Choosing Between the CDR and STAR Models
比较了CDR和STAR两种非线性模型对美国实际GNP和工业产出的拟合与预测效果，发现CDR模型在样本内拟合和样本外预测上略优，且两者动态特征差异显著。
Nonlinear modeling has become popular in applied macroeconomics. Successful attempts include Beaudry and Koop's CDR (current depth of the recession) model of real GNP, and various STAR (smooth transition autoregression) models of industrial production. However, these models have not been directly compared. We compare CDR and STAR models of U.S. real GNP and industrial production. We find (i) within sample, the CDR model fits slightly better than the STAR model; (ii) out of sample, the CDR model forecasts better than the STAR model; and (iii) the CDR model generates very different dynamics than the STAR model. © 1999 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology