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Consecuencias para la predicción de la existencia de caos utilizando modelos TAR

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Author Info

  • R.Gimeno

    ()
    (Universidad Pontificia Comillas de Madrid)

  • P.Grau

    ()
    (Universidad Rey Juan Carlos)

  • L.Escot

    ()
    (Universidad Complutense. Departamento de Economía Aplicada III)

  • R.Mateos

    ()
    (Departamento de Empresa. Universidad San Pablo-CEU)

  • E.Olmedo

    ()
    (Departamento de Economía Aplicada I. Universidad de Sevilla)

Abstract

En el presente trabajo se analizan las consecuencias que tiene para la predicción de datos de coyuntura española, en concreto para las importaciones nominales de bienes intermedios, la detección de indicios de comportamiento caótico. Para esta detección se ha utilizado una estimación de un modelo tipo umbral autorregresivo (TAR) y se ha representado gráficamente su diagrama de bifurcación. En concreto, se analizan las diferencias cuando el modelo presenta dinámica caótica y cuando no las presenta tanto en la estimación de los parámetros como en los errores de predicción.

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Bibliographic Info

Paper provided by Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales in its series Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales with number 03-10.

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Date of creation: 2003
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Handle: RePEc:ucm:doctra:03-10

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