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RePEc: Research Papers in Economics
Descripción: 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.
Autor(es): Fredy Ocaris Pérez Ramírez - Hermilson Velásquez Ceballos -
Id.: 39798472
Versión: 1.0
Estado: Final
Tipo de recurso:
article
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Tipo de Interactividad: Expositivo
Nivel de Interactividad: muy bajo
Audiencia:
Estudiante
- Profesor
- Autor
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Estructura: Atomic
Coste: no
Copyright: sí
Requerimientos técnicos: Browser: Any -
Fecha de contribución: 27-may-2009
Contacto:
Localización:
* RePEc:lde:journl:y:2004:i:61:p:101-119
* ftp://ftp.drivehq.com/cavasco/lecturas/numero61/n61a5.pdf
