Working Paper

Reproducing business cycle features in Germany - an evaluation for the need of nonlinear models

There exists a wide literature starting by Hess and Iwata (1997) on the issue whether nonlinear

time series models are needed to reproduce business cycle features. While almost all

studies are about the properties of US data, this paper adopts this kind of analysis to address

the German case. The results show strong evidence for the existence of non-linearities in data

generating process for German GDP.

Authors

Christian Aßmann

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Publication Date
JEL Classification
C22, C52, E32