IDEAS home Printed from https://ideas.repec.org/p/col/000176/022980.html

Comparación de los modelos SETAR y STAR para el índice de empleo industrial colombiano

Author

Listed:
  • Milena Hoyos
  • Mario Galindo

Abstract

This article intends to show evidence of nonlinearity in the Colombian industrial employment index. For this, a nonlinear self-exciting threshold autoregressive model and a smooth transition autoregressive model are estimated for the monthly index from 1990 to 2010. The article also presents a forecast comparison of the models for different forecast horizons. The main results show evidence of nonlinearity, explained by a four-regime SETAR model and a two-regime LSTAR model, as well as the superiority of the latter model in predictive capacity. The LSTAR model not only offers important benefits in forecast performance, but also presents advantages in front of its rival in terms of interpretation ease.

Suggested Citation

  • Milena Hoyos & Mario Galindo, 2011. "Comparación de los modelos SETAR y STAR para el índice de empleo industrial colombiano," Econógrafos, Escuela de Economía 022980, Universidad Nacional de Colombia, FCE, CID.
    • Handle: RePEc:col:000176:022980
    as

    Download full text from publisher

    File URL: https://fce.unal.edu.co/media/files/documentos/Comunicaciones/documentos-economia-25.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000176:022980. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Facultad de Ciencias Económicas Unal (email available below). General contact details of provider: https://edirc.repec.org/data/funalco.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.