Modeling Nonlinearity over the Business Cycle

Clive W. Granger, Timo Terasvirta, and Heather M. Anderson, Business Cycles, Indicators, and Forecasting (University of Chicago Press, 1993), chap. 8, https://www.nber.org/books-and-chapters/business-cycles-indicators-and-forecasting/modeling-nonlinearity-over-business-cycle.