Working Paper

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

Authors

  • Christian Aßmann
  • Jens Boysen-Hogrefe
Publication Date

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.

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Info

JEL Classification
C22, C52, E32

Key Words

  • business cycle
  • GDP
  • time series models
  • Zeitreihenmodelle