Análisis de cambio de régimen en series de tiempo no lineales utilizando modelos TAR

Fredy Ocaris Pérez Ramírez () and Hermilson Velasquez
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Fredy Ocaris Pérez Ramírez: Universidad de Medellín, Postal: apartado aéreo 1983 Medellín, Colombia

Lecturas de Economía, 2004, issue 61, 101-119

Abstract: In some situations, theoreticians recommend a given predictive model for a series of financial time. However, some inappropriate behaviors in given series make such a model unsuitable. One of the reasons for this can be the non-linearity of those behaviors. A proposed model to treat these series is the TAR model (threshold autoregressive). TAR models are determined by a variable called threshold for which it mainly results to be a temporal nonlinear model. A TAR model expresses itself as a temporal series, with a lagged as a threshold variable, where d is an entire positive called retard threshold. In practice, the threshold variable is unknown, due to which an important question is how to determine it; an answer to this question is given in this paper. TAR models are illustrated by modeling Spain's Gross Domestic Product.

Keywords: TAR model; threshold variable; regimes (search for similar items in EconPapers)
JEL-codes: C23 C51 (search for similar items in EconPapers)
Date: 2004
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