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Comparación De Los Modelos Setar Y Star Para El Índice De Empleo Industrial Colombiano

  • Milena Hoyos

    ()

  • Mario Galindo

    ()

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    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 desempeño 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 desempeño de pronósticos, sino también presenta ventajas frente a su rival en términos de facilidad de interpretación.

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    File URL: http://www.fce.unal.edu.co/media/files/documentos/Comunicaciones/dochoyos_fce_ee_25.pdf
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    Paper provided by UN - RCE - CID in its series DOCUMENTOS DE TRABAJO - ESCUELA DE ECONOMÍA with number 008347.

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    Length: 20
    Date of creation: 27 Apr 2011
    Date of revision:
    Handle: RePEc:col:000178:008347
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    1. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
    2. Eitrheim, Øyvind & Teräsvirta, Timo, 1995. "Testing the Adequacy of Smooth Transition Autoregressive Models," SSE/EFI Working Paper Series in Economics and Finance 56, Stockholm School of Economics.
    3. Diebold, Francis X & Rudebusch, Glenn D, 1996. "Measuring Business Cycles: A Modern Perspective," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 67-77, February.
    4. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
    5. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, Elsevier.
    6. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
    7. Clements, Michael P. & Smith, Jeremy, 1997. "The performance of alternative forecasting methods for SETAR models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 463-475, December.
    8. repec:cup:cbooks:9780521770415 is not listed on IDEAS
    9. Brown, Bryan W. & Mariano, Roberto S., 1989. "Predictors in Dynamic Nonlinear Models: Large-Sample Behavior," Econometric Theory, Cambridge University Press, vol. 5(03), pages 430-452, December.
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