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Introducción (empleando R) a los modelos univariados no lineales de series de tiempo: Modelo TAR

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  • Julio César Alonso Cifuentes

Abstract

Hasta el momento hemos discutido modelos que suponen un comportamiento lineal. Por ejemplo, para modelos autoregresivos de orden 1 (AR(1)) es igual y de la misma magnitud la respuesta de la variable ante un cambio positivo o negativo de una unidad de la variable rezagada. Pero el mundo no necesariamente es lineal. Se podría esperar que las variables económicas reaccionen de manera diferente ante variaciones positivas o negativas. O se puede esperar una reacción diferente cuando una variable sobrepasa un determinado umbral. En este documento nos concentraremos en los modelos no-lineales; en especial el modelo Autoregresivo con umbral TAR (por su sigla del inglés Threshold Autoregressive Models) y otros modelos derivados de este. Así mismo, discutiremos cómo estimarlos en R.

Suggested Citation

  • Julio César Alonso Cifuentes, 2022. "Introducción (empleando R) a los modelos univariados no lineales de series de tiempo: Modelo TAR," Icesi Economics Working Papers 20607, Universidad Icesi.
    • Handle: RePEc:col:000495:020607
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    Keywords

    TAR; SETAR; LSTAR; AAR; NARNN;
    All these keywords.

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