Conditional mean functions of non-linear models of US output |
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Authors: | Michael P Clements Ana B C Galvão |
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Institution: | (1) Department of Economics, University of Warwick, Coventry, CV4 7AL, UK (email: M.P.Clements@Warwick.ac.uk), GB;(2) Department of Economics, European University Institute, Italy. (email: agalvao@iue.it), IT |
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Abstract: | We compare a number of models of post War US output growth in terms of the degree and pattern of non-linearity they impart
to the conditional mean, where we condition on either the previous period's growth rate, or the previous two periods' growth
rates. The conditional means are estimated non-parametrically using a nearest-neighbour technique on data simulated from the
models. In this way, we condense the complex, dynamic, responses that may be present in to graphical displays of the implied
conditional mean.
First version received: Feb. 1999/Final version received: June 2001 |
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Keywords: | : non-linearity business cycles non-parametric conditional mean estimates |
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