and Timo Teräsvirta
Anna Persson: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, S-113 83 Stockholm, Sweden
Timo Teräsvirta: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, S-113 83 Stockholm, Sweden
Abstract: This paper analyzes the net barter terms of trade measured by the primary commodity price index relative to the index of unit values of export of manufactures from industrial countries. The starting-point is that the series is stationary but possibly nonlinear. Statistical tests indicate that the logarithmed series is nonlinear, and we estimate a Smooth Transition Autoregressive model to describe the process. The dynamics of the model are illustrated by use of parametrically estimated local spectra and generalized impulse response functions. Our model encompasses models from several previous studies, and our conclusion is that the starting-point of the empirical analysis very much determines the outcome.
31 pages, September 23, 1999
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