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Análisis de cambio de régimen en series de tiempo no lineales utilizando modelos TAR

Author

Listed:
  • Fredy Ocaris Pérez Ramírez

    (Universidad de Medellín)

  • Hermilson Velásquez Ceballos

    (Universidad de Medellín)

Abstract

In some situations, theoreticians recommend a given predictive model for a series of financial time. However, some inappropriate behaviors in given series make such a model unsuitable. One of the reasons for this can be the non-linearity of those behaviors. A proposed model to treat these series is the TAR model (threshold autoregressive). TAR models are determined by a variable called threshold for which it mainly results to be a temporal nonlinear model. A TAR model expresses itself as a temporal series, with a lagged as a threshold variable, where d is an entire positive called retard threshold. In practice, the threshold variable is unknown, due to which an important question is how to determine it; an answer to this question is given in this paper. TAR models are illustrated by modeling Spain's Gross Domestic Product.

Suggested Citation

  • Fredy Ocaris Pérez Ramírez & Hermilson Velásquez Ceballos, 2004. "Análisis de cambio de régimen en series de tiempo no lineales utilizando modelos TAR," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 61, pages 101-119, Julio-Dic.
    • Handle: RePEc:lde:journl:y:2004:i:61:p:101-119
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    More about this item

    Keywords

    TAR model; threshold variable; regimes;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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