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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

Abstract

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

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