Un modelo SETAR para el PIB Colombiano

Milena Hoyos, Johanna Ramos and Lorena Vivas

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

Abstract: This paper studies the growth rate of the Colombian GDP between 1982 and 2008 with a SETAR model (Self-Exciting Threshold Autoregressive), based in the methodology proposed by Tsay (1989) and Tong (1990) for the detection of nonlinearities related to changeable regimens. The main results show empirical evidence of non linearity of threshold in the series associated with high or low rates of growth observed in the annual lag, remaining more time in the regime of higher growth rates than in lesser intensive dynamic regimes. Furthermore, the study compares the performance of the SETAR results with the forecasts generated by a linear autorregresive model in different horizons of prediction, based on a symmetrical loss function. Even though, the performance of the forecasts of the model SETAR does not seem to improve with regard to the benchmark model, the results depend on the origin of the forecast.

Keywords: Ciclo económico; asimetrías; no linealidad; modelos SETAR (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
Pages: 19
Date: 2011
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Published in Econografos

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Persistent link: https://EconPapers.repec.org/RePEc:col:000176:022996

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