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

Author

Listed:
  • Milena Hoyos
  • Mario Galindo

Abstract

Este trabajo pretende mostrar evidencia de no linealidad en el índice de empleo industrial colombiano. Para esto, se estiman los modelos SETAR y STAR, usando la serie mensual del índice para el periodo 1990-2010. El artículo presenta además una comparación del desempeno de pronósticos de los modelos para diferentes horizontes de predicción. Los principales resultados muestran evidencia de no linealidad, explicada por un SETAR de cuatro regímenes y un LSTAR de dos regímenes, así como la superioridad del segundo modelo en capacidad predictiva. El LSTAR no solamente ofrece ganancias importantes en desempeno de pronósticos, sino también presenta ventajas frente a su rival en términos de facilidad de interpretación.

Suggested Citation

  • Milena Hoyos & Mario Galindo, 2011. "Comparación de los modelos SETAR y STAR para el índice de empleo industrial colombiano," Documentos de Trabajo, Escuela de Economía 8347, Universidad Nacional de Colombia, FCE, CID.
    • Handle: RePEc:col:000178:008347
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    File URL: http://www.fce.unal.edu.co/centro-editorial/docs/escuela-de-economia/25-comparacion-de-los-modelos-setar-y-star-para-el-indice-de-empleo-industrial-colombiano
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    References listed on IDEAS

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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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