A Nonlinear Forecasting Model of GDP Growth

A-Tier
Journal: Review of Economics and Statistics
Year: 2005
Volume: 87
Issue: 4
Pages: 697-708

Authors (3)

David N. DeJong (not in RePEc) Roman Liesenfeld (not in RePEc) Jean-François Richard (University of Pittsburgh)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We develop a model of GDP growth under which regime changes are triggered stochastically by an observable tension index, constructed as the geometric sum of deviations of actual GDP growth from a corresponding sustainable rate. Within expansionary regimes, the tension index tends to increase, which heightens the probability of a regime change. Given a regime change, the process becomes reversed, and the tension index begins to decline along a newly established path. Linking the behavior of the tension index to GDP growth enables us to capture floor and ceiling effects. © 2005 President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Technical Details

RePEc Handle
repec:tpr:restat:v:87:y:2005:i:4:p:697-708
Journal Field
General
Author Count
3
Added to Database
2026-01-25