Multi-regime models for nonlinear nonstationary time series

Francesco Battaglia and Mattheos Protopapas ()

No 26, Working Papers from COMISEF

Abstract: Nonlinear nonstationary models for time series are considered, where the series is generated from an autoregressive equation whose coe±cients change both according to time and the delayed values of the series itself, switching between several regimes. The transition from one regime to the next one may be discontinuous (self-exciting threshold model), smooth (smooth transition model) or continuous linear (piecewise linear threshold model). A genetic algorithm for identifying and estimating such models is proposed, and its behavior is evaluated through a simulation study and application to temperature data and a financial index.

Pages: 21 pages
Date: 2010-01-28
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Citations: View citations in EconPapers (4)

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