Evolutionary computational approach in TAR model estimation
The well-known SETAR model introduced by Tong belongs to the wide class of TAR models that may be specified in several different ways. Here we propose to consider the delay parameter as endogenous, that is we make it to depend on both the past value and the specific past regime of the series. In particular we consider a system that switches between two regimes, each of which is a linear autoregressive of order p, with respect of the value assumed by a delayed self--variable compared with an asymmetric threshold; the peculiarity is that the switching rule also depends on the regime in which the system lies at time t-d. In this work we consider two identification procedures: the first one follows the classical estimation for SETAR models, the second one proposes to estimate this model using the Particle Swarm Optimization technique.
|Date of creation:||2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.unive.it/dip.economia
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bruce E. Hansen, 1996.
"Sample Splitting and Threshold Estimation,"
Boston College Working Papers in Economics
319., Boston College Department of Economics, revised 12 May 1998.
- Potter, Simon M, 1995.
"A Nonlinear Approach to US GNP,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun.
- Francesco Battaglia & Mattheos K. Protopapas, 2010. "Multi-regime models for nonlinear nonstationary time series," Working Papers 026, COMISEF.
- Jesús Gonzalo & Michael Wolf, 2001.
"Subsampling inference in threshold autoregressive models,"
Economics Working Papers
573, Department of Economics and Business, Universitat Pompeu Fabra.
- Gonzalo, Jesus & Wolf, Michael, 2005. "Subsampling inference in threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 127(2), pages 201-224, August.
When requesting a correction, please mention this item's handle: RePEc:ven:wpaper:2011_26. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Geraldine Ludbrook)
If references are entirely missing, you can add them using this form.