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Un modelo SETAR para el PIB Colombiano

Author

Listed:
  • Milena Hoyos

    ()

  • Johanna Ramos

    ()

  • Lorena Vivas

    ()

Abstract

En este artículo se estudia el comportamiento de la tasa de crecimiento del PIB colombiano durante el período 1982-2008 a partir de un modelo SETAR (Self-Exciting Threshold Autoregressive), con base en la metodología propuesta por Tsay (1989) y Tong (1990) para la detección de no linealidades relacionadas con la existencia de regímenes cambiantes. Adicionalmente, se evalúa el desempeño de los pronósticos generados en relación a los obtenidos con un modelo autorregresivo lineal para diferentes horizontes de predicción, empleando una función de pérdida simétrica. Los principales resultados muestran evidencia empírica de no linealidad de umbral en la serie asociada a las altas o ajas tasas de crecimiento registradas por su rezago anual, permaneciendo más tiempo en el régimen de tasas de crecimiento más elevadas que en el régimen en el que la dinámica de crecimiento es menos acelerada, y que el desempeño de los pronósticos del modelo SETAR parece no mejorar con respecto al modelo base, si bien los resultados dependen del origen de pronóstico considerado.

Suggested Citation

  • Milena Hoyos & Johanna Ramos & Lorena Vivas, 2009. "Un modelo SETAR para el PIB Colombiano," DOCUMENTOS DE TRABAJO - ESCUELA DE ECONOMÍA 006160, UN - RCE - CID.
  • Handle: RePEc:col:000178:006160
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    Keywords

    Ciclo económico; asimetrías; no linealidad; modelos SETAR.;

    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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