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Análisis de cambio de régimen en series de tiempo no lineales utilizando modelos TAR

Listed author(s):
  • Fredy Ocaris Pérez Ramírez


    (Universidad de Medellín)

  • Hermilson Velásquez Ceballos


    (Universidad de Medellín)

Registered author(s):

    In some situations, theoreticians recommend a given predictive model for a series of financial time. However, some inappropriate behaviors in given series make such a model unsuitable. One of the reasons for this can be the non-linearity of those behaviors. A proposed model to treat these series is the TAR model (threshold autoregressive). TAR models are determined by a variable called threshold for which it mainly results to be a temporal nonlinear model. A TAR model expresses itself as a temporal series, with a lagged as a threshold variable, where d is an entire positive called retard threshold. In practice, the threshold variable is unknown, due to which an important question is how to determine it; an answer to this question is given in this paper. TAR models are illustrated by modeling Spain's Gross Domestic Product.

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    Article provided by Universidad de Antioquia, Departamento de Economía in its journal LECTURAS DE ECONOMÍA.

    Volume (Year): (2004)
    Issue (Month): 61 (Julio-Diciembre)
    Pages: 101-119

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    Handle: RePEc:lde:journl:y:2004:i:61:p:101-119
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