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Time‐varying multi‐regime models fitting by genetic algorithms

Author

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  • Francesco Battaglia
  • Mattheos K. 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.
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Suggested Citation

  • Francesco Battaglia & Mattheos K. Protopapas, 2011. "Time‐varying multi‐regime models fitting by genetic algorithms," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 237-252, May.
    • Handle: RePEc:bla:jtsera:v:32:y:2011:i:3:p:237-252
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    Cited by:

    1. Frauke Schleer, 2015. "Finding Starting-Values for the Estimation of Vector STAR Models," Econometrics, MDPI, vol. 3(1), pages 1-26, January.
    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. Schleer, Frauke, 2013. "Finding starting-values for maximum likelihood estimation of vector STAR models," ZEW Discussion Papers 13-076, ZEW - Leibniz Centre for European Economic Research.
    4. Francesco Battaglia & Mattheos Protopapas, 2012. "An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(3), pages 315-334, August.
    5. 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 & Applications, Springer;Società Italiana di Statistica, vol. 21(3), pages 371-373, August.
    6. Zhenxi Chen & Stefan Reitz, 2020. "Dynamics of the European sovereign bonds and the identification of crisis periods," Empirical Economics, Springer, vol. 58(6), pages 2761-2781, June.
    7. Francesco Battaglia & Mattheos K. Protopapas, 2010. "Multi-regime models for nonlinear nonstationary time series," Working Papers 026, COMISEF.

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