caa a22 4500 378872451 CHVBK 20180305123412.0 cr unu---uuuuu 161128e20030424xx s 000 0 eng 10.2202/1558-3708.1123 doi (NATIONALLICENCE)gruyter-10.2202/1558-3708.1123 Identifying Nonlinear Components by Random Fields in the US GNP Growth. Implications for the Shape of the Business Cycle [Elektronische Daten] [Christian M. Dahl, Gloria Gonzalez-Rivera] Within a flexible parametric regression framework (Hamilton, 2001) we provide further evidence on the existence of a nonlinear component in the quarterly growth rate of the US real GNP. We implement a battery of new tests for neglected nonlinearity based on the theory of random fields (Dahl and Gonzalez-Rivera, 2003). We find that the nonlinear component is driven by the fifth lag of the growth rate. We show that our model is superior to linear and nonlinear parametric specifications because it produces a business cycle that when dissected with the BBQ algorithm mimics very faithfully the characteristics of the actual US business cycle. On understanding the relevance of the fifth lag, we find that the nonparametrically estimated conditional mean supports parametric specifications that allow for three phases in the business cycle: rapid linear contractions, aggressive short-lived convex early expansions, and moderate/slow relatively long concave late expansions. ©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston Dahl Christian M. Purdue University, cdahl@econ.au.dk aut Gonzalez-Rivera Gloria University of California, Riverside, gloria.gonzalez@ucr.edu aut Studies in Nonlinear Dynamics & Econometrics De Gruyter 7/1(2003-04-24) 7:1 2003 7 snde https://doi.org/10.2202/1558-3708.1123 text/html Onlinezugriff via DOI 1 research article jats NATIONALLICENCE 856 40 https://doi.org/10.2202/1558-3708.1123 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Dahl Christian M. Purdue University, cdahl@econ.au.dk aut NATIONALLICENCE 700 1- Gonzalez-Rivera Gloria University of California, Riverside, gloria.gonzalez@ucr.edu aut NATIONALLICENCE 773 0- Studies in Nonlinear Dynamics & Econometrics De Gruyter 7/1(2003-04-24) 7:1 2003 7 snde CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-gruyter