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Un modelo SETAR para el PIB Colombiano

Author

Listed:
  • Milena Hoyos
  • Johanna Ramos
  • Lorena Vivas

Abstract

This paper studies the growth rate of the Colombian GDP between 1982 and 2008 with a SETAR model (Self-Exciting Threshold Autoregressive), based in the methodology proposed by Tsay (1989) and Tong (1990) for the detection of nonlinearities related to changeable regimens. The main results show empirical evidence of non linearity of threshold in the series associated with high or low rates of growth observed in the annual lag, remaining more time in the regime of higher growth rates than in lesser intensive dynamic regimes. Furthermore, the study compares the performance of the SETAR results with the forecasts generated by a linear autorregresive model in different horizons of prediction, based on a symmetrical loss function. Even though, the performance of the forecasts of the model SETAR does not seem to improve with regard to the benchmark model, the results depend on the origin of the forecast.

Suggested Citation

  • Milena Hoyos & Johanna Ramos & Lorena Vivas, 2011. "Un modelo SETAR para el PIB Colombiano," Econógrafos, Escuela de Economía 022996, Universidad Nacional de Colombia, FCE, CID.
    • Handle: RePEc:col:000176:022996
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    Keywords

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    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

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