Nonlinear Dynamics and European GNP Data - Abstract

Nonlinear Dynamics and European GNP Data

Domenico Delli Gatti
Università Cattolica

Mauro Gallegati
Università di Teramo

Domenico Mignacca
Società Interbancaria


Pages 43-59


Abstract

The aim of this paper is to assess whether the data-generation process of the GDP can be interpreted by means of a nonlinear model instead of a linear one. We model the first differences of logarithmic real GDP data with constant parameters for those European countries (France, Germany, Italy, U.K., Denmark, Sweden, and Norway) which have long-term time series. Since the linear autoregressive model is rejected, an alternative nonlinear model has been specified: it turns out that the annual European GDPs can adequately be described by means of a nonlinear model with constant parameters.

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