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Un modelo SETAR para el PIB colombiano

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Author Info

  • Nancy Milena Hoyos Gomez

    ()

  • Johanna Ramos

    ()

  • Lorena Vivas

    ()

Abstract

En este artículo se estudia el comportamiento de la tasa de crecimiento del PIB colombiano entre 1982-2008 a partir de un modelo SETAR (Self-Exciting Threshold Autoregressive), empleando la metodología propuesta por Tsay (1989) y Tong (1990) para la detección de no linealidades relacionadas con la existencia de regímenes cambiantes. Adicionalmente, se comparan los pronósticos generados con los obtenidos en un modelo autorregresivo lineal para diferentes horizontes de predicción, empleando funciones de pérdida simétricas. Los resultados muestran evidencia empírica de que existe no linealidad de umbral en la serie asociada a las altas o bajas tasas de crecimiento registradas por su rezago anual (permaneciendo más tiempo en el régimen de tasas de crecimiento más elevadas) y que el desempeño de los pronósticos del modelo SETAR parece no mejorar con respecto al modelo base.

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File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/52/m_hoyos_30.07.pdf
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Bibliographic Info

Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

Volume (Year): (2010)
Issue (Month): ()
Pages:

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Handle: RePEc:col:000093:007326

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Related research

Keywords: ciclo económico; asimetrías; no linealidad; modelos SETAR.;

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