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Fitting piecewise linear threshold autoregressive models by means of genetic algorithms

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  • Baragona, R.
  • Battaglia, F.
  • Cucina, D.
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-4B5R94R-2/2/5a94f6173c06191ce16e8a6762a0e2d7
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    Bibliographic Info

    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 47 (2004)
    Issue (Month): 2 (September)
    Pages: 277-295

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    Handle: RePEc:eee:csdana:v:47:y:2004:i:2:p:277-295

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    1. Zongwu Cai & Jianqing Fan & Qiwei Yao, 2000. "Functional-coefficient regression models for nonlinear time series," LSE Research Online Documents on Economics 6314, London School of Economics and Political Science, LSE Library.
    2. Wu, Berlin & Chang, Chih-Li, 2002. "Using genetic algorithms to parameters (d,r) estimation for threshold autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 38(3), pages 315-330, January.
    3. Chatterjee, Sangit & Laudato, Matthew & Lynch, Lucy A., 1996. "Genetic algorithms and their statistical applications: an introduction," Computational Statistics & Data Analysis, Elsevier, vol. 22(6), pages 633-651, October.
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    Cited by:
    1. Francesco Battaglia & Mattheos Protopapas, 2012. "An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models," Statistical Methods and Applications, Springer, vol. 21(3), pages 315-334, August.
    2. Nunkesser, Robin, 2008. "RFreak-An R-package for evolutionary computation," Technical Reports 2008,12, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    3. Makram El-Shagi, 2010. "An Evolutionary Algorithm for the Estimation of Threshold Vector Error Correction Models," IWH Discussion Papers 1, Halle Institute for Economic Research.
    4. Francesco Battaglia & Mattheos Protopapas, 2009. "Time-varying Multi-regime Models Fitting by Genetic Algorithms," Working Papers 009, COMISEF.
    5. Winker, Peter & Gilli, Manfred, 2004. "Applications of optimization heuristics to estimation and modelling problems," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 211-223, September.
    6. Nunkesser, Robin & Morell, Oliver, 2008. "Evolutionary algorithms for robust methods," Technical Reports 2008,29, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    7. Roberto Baragona & Domenico Cucina, 2013. "Multivariate Self-Exciting Threshold Autoregressive Modeling by Genetic Algorithms," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 233(1), pages 3-21, January.
    8. Manfred Gilli & Peter Winker, 2008. "Review of Heuristic Optimization Methods in Econometrics," Working Papers 001, COMISEF.
    9. Francesco Battaglia & Mattheos Protopapas, 2012. "Multi–regime models for nonlinear nonstationary time series," Computational Statistics, Springer, vol. 27(2), pages 319-341, June.
    10. Francesco Battaglia & Mattheos K. Protopapas, 2010. "Multi-regime models for nonlinear nonstationary time series," Working Papers 026, COMISEF.
    11. Gimeno, Ricardo & Nave, Juan M., 2009. "A genetic algorithm estimation of the term structure of interest rates," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2236-2250, April.
    12. Yang, Zheng & Tian, Zheng & Yuan, Zixia, 2007. "GSA-based maximum likelihood estimation for threshold vector error correction model," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 109-120, September.

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