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Un modelo SETAR para el PIB colombiano

Author

Listed:
  • 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 desempeno de los pronósticos del modelo SETAR parece no mejorar con respecto al modelo base.

Suggested Citation

  • Nancy Milena Hoyos Gomez & Johanna Ramos & Lorena Vivas, 2010. "Un modelo SETAR para el PIB colombiano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, June.
    • Handle: RePEc:col:000093:007326
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    Keywords

    ciclo económico; asimetrías; no linealidad; modelos SETAR.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development

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