Advanced Search
MyIDEAS: Login to save this paper or follow this series

Time-varying Multi-regime Models Fitting by Genetic Algorithms

Contents:

Author Info

  • Francesco Battaglia
  • Mattheos Protopapas

Abstract

Many time series exhibit both nonlinearity and nonstationarity. Though both features have often been taken into account separately, few attempts have been proposed to model them simultaneously. We consider threshold models, and present a general model allowing for different regimes both in time and in levels, where regime transitions may happen according to self-exciting, or smoothly varying, or piecewise linear threshold modeling. Since fitting such a model involves the choice of a large number of structural parameters, we propose a procedure based on genetic algorithms, evaluating models by means of a generalized identification criterion. The performance of the proposed procedure is illustrated with a simulation study and applications to some real data.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://comisef.eu/files/wps009.pdf
Download Restriction: no

Bibliographic Info

Paper provided by COMISEF in its series Working Papers with number 009.

as in new window
Length: 37 pages
Date of creation: 20 Feb 2009
Date of revision:
Handle: RePEc:com:wpaper:009

Contact details of provider:
Web page: http://www.comisef.eu

Related research

Keywords: Nonlinear time series; Nonstationary time series; Threshold model;

Other versions of this item:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Michael McAller & Marcelo C. Medeiros, 2007. "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão 544, Department of Economics PUC-Rio (Brazil).
  2. Amado, Cristina & Teräsvirta, Timo, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," Working Paper Series in Economics and Finance 691, Stockholm School of Economics.
  3. Davis, Richard A. & Lee, Thomas C.M. & Rodriguez-Yam, Gabriel A., 2006. "Structural Break Estimation for Nonstationary Time Series Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 223-239, March.
  4. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
  5. 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.
  6. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June.
  7. Baragona, R. & Battaglia, F. & Cucina, D., 2004. "Fitting piecewise linear threshold autoregressive models by means of genetic algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 277-295, September.
  8. 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.
  9. n/a, 2001. "Balance of payments prospects in EMU," NIESR Discussion Papers 164, National Institute of Economic and Social Research.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Francesco Battaglia & Mattheos K. Protopapas, 2010. "Multi-regime models for nonlinear nonstationary time series," Working Papers 026, COMISEF.
  2. Francesco Battaglia & Mattheos Protopapas, 2012. "Multi–regime models for nonlinear nonstationary time series," Computational Statistics, Springer, vol. 27(2), pages 319-341, June.
  3. Francesco Battaglia & Mattheos Protopapas, 2012. "Rejoinder to the discussion of “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 371-373, August.
  4. 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.
  5. Schleer, Frauke, 2013. "Finding starting-values for maximum likelihood estimation of vector STAR models," ZEW Discussion Papers 13-076, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:com:wpaper:009. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anil Khuman).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.