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Evolutionary computational approach in TAR model estimation

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  • Claudio Pizzi

    ()
    (Department of Economics, University Of Venice Cà Foscari)

  • Francesca Parpinel

    (Department of Economics, University Of Venice Cà Foscari)

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    Abstract

    The well-known SETAR model introduced by Tong belongs to the wide class of TAR models that may be specified in several different ways. Here we propose to consider the delay parameter as endogenous, that is we make it to depend on both the past value and the specific past regime of the series. In particular we consider a system that switches between two regimes, each of which is a linear autoregressive of order p, with respect of the value assumed by a delayed self--variable compared with an asymmetric threshold; the peculiarity is that the switching rule also depends on the regime in which the system lies at time t-d. In this work we consider two identification procedures: the first one follows the classical estimation for SETAR models, the second one proposes to estimate this model using the Particle Swarm Optimization technique.

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    File URL: http://www.unive.it/media/allegato/DIP/Economia/Working_papers/Working_papers_2011/WP_DSE_parpinel_pizzi_26_11.pdf
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    Bibliographic Info

    Paper provided by Department of Economics, University of Venice "Ca' Foscari" in its series Working Papers with number 2011_26.

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    Length: 17
    Date of creation: 2011
    Date of revision:
    Handle: RePEc:ven:wpaper:2011_26

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    Related research

    Keywords: Parameter Estimation; Threshold Autoregressive Models; Particle Swarm Optimization.;

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    1. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun.
    2. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
    3. Francesco Battaglia & Mattheos K. Protopapas, 2010. "Multi-regime models for nonlinear nonstationary time series," Working Papers 026, COMISEF.
    4. Jesús Gonzalo & Michael Wolf, 2001. "Subsampling inference in threshold autoregressive models," Economics Working Papers 573, Department of Economics and Business, Universitat Pompeu Fabra.
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