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

Milena Hoyos and Mario Galindo

Econógrafos, Escuela de Economía from Universidad Nacional de Colombia, FCE, CID

Abstract: This article intends to show evidence of nonlinearity in the Colombian industrial employment index. For this, a nonlinear self-exciting threshold autoregressive model and a smooth transition autoregressive model are estimated for the monthly index from 1990 to 2010. The article also presents a forecast comparison of the models for different forecast horizons. The main results show evidence of nonlinearity, explained by a four-regime SETAR model and a two-regime LSTAR model, as well as the superiority of the latter model in predictive capacity. The LSTAR model not only offers important benefits in forecast performance, but also presents advantages in front of its rival in terms of interpretation ease.

Keywords: Business cycle; nonlinearity; SETAR model; STAR model; industrial production index (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
Pages: 20
Date: 2011
References: Add references at CitEc
Citations:

Downloads: (external link)
https://fce.unal.edu.co/media/files/documentos/Com ... ntos-economia-25.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:col:000176:022980

Access Statistics for this paper

More papers in Econógrafos, Escuela de Economía from Universidad Nacional de Colombia, FCE, CID Contact information at EDIRC.
Bibliographic data for series maintained by Facultad de Ciencias Económicas Unal ().