Nonlinear autoregressive leading indicator models of output in G‐7 countries
研究七国集团商业周期的线性和非线性自回归领先指标模型，使用短期与长期利率利差作为GDP领先指标，检验模型能否生成与观测数据相似的古典周期，并评估其对衰退概率的预测能力。
Abstract This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G‐7 countries. Our models use the spread between short‐term and long‐term interest rates as leading indicators for GDP. We examine data admissibility by determining whether these models have the ability to produce time series with classical cycles that resemble the observed classical cycles in the data, and then we ask whether this data admissibility lends itself to better predictions of the probability of recession. Copyright © 2007 John Wiley & Sons, Ltd.