A note on cointegrated relationships estimated with genetic algorithms

Mariano Matilla-García

Applied Economics Letters, 2005, vol. 12, issue 4, 235-238

Abstract: Estimation techniques based on Genetic Algorithms (GA) have been studied in the presence of cointegrated variables. Several applications of GA to time-series have ignored the fact that the equation estimated by GA might be spurious. In this line, in this study it is shown that: (1) GA robustly detects this kind of relationship when the process contains a linear cointegrated relationship, (2) estimated models provide real fitness instead of spurious fitness. The well known cointegrated relation between income and consumption is estimated using GA.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:12:y:2005:i:4:p:235-238

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DOI: 10.1080/1350485042000329112

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