Search Results - subject:"Setar models"

Does Linearity in the Dynamics of Inflation Gap and Unemployment Rate Matter?

Montero, Roque - In: Revista de Analisis Economico – Economic Analysis Review 27 (2012) 1, pp. 3-26

This paper test the null hypothesis of linearity against a specific form of nonlinearity in the Data Generating Process (DGP) of the unemployment rate and the difference between the inflation rate (measured as the twelve months variation of CPI and CPIX1) and the inflation target, using twenty...

Persistent link: https://www.econbiz.de/10010748297

Time series models of GDP: a reappraisal.

Marchese, Malvina - Volkswirtschaftliche Fakultät, … - 2010

diagnostic six popular models of real GDP are compared in a Monte Carlo simulation.We find that SETAR models and three stages …

Persistent link: https://www.econbiz.de/10009647409

Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure

Archontakis, Theofanis; Lemke, Wolfgang - 2007

This paper studies a nonlinear one-factor term structure model in discrete time. The single factor is the short-term interest rate, which is modeled as a self-exciting threshold autoregressive (SETAR) process. Our specification allows for shifts in the intercept and the variance. The process is...

Persistent link: https://www.econbiz.de/10010295839

Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure

Archontakis, Theofanis; Lemke, Wolfgang - Deutsche Bundesbank - 2007

Persistent link: https://www.econbiz.de/10005083162

Modelos de corrección de error no lineal entre mercados accionarios latinoamericanos y el mercado accionario de Estados Unidos

Valdés, Arturo Lorenzo - In: Revista de Analisis Economico – Economic Analysis Review 21 (2006) 1, pp. 117-129

The intention of the present work is to evaluate long-run relations in the stock markets of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) and the United States stock market, by means of a model in which a cointegration relation exists between the principals...

Persistent link: https://www.econbiz.de/10005698245

Kapetanios, George; Shin, Yongcheol - School of Economics, University of Edinburgh - 2004

This paper consider the GLS detrending procedure advanced by Elliott et al. (1996) for unit root tests against alternative hypotheses where the time series data under investigation follow either globally stationary SETAR or STAR processes with deterministic components being present. It is found...

Persistent link: https://www.econbiz.de/10005086762

Testing for nonstationary long memory against nonlinear ergodic models

Kapetanios, George; Shin, Yongcheol - 2003

nonlinerarity. The nonlinear models we consider are ESTAR and SETAR models. We provide analysis on the asymptotic properties of the …

Persistent link: https://www.econbiz.de/10010289032

The Performance of SETAR models by Regime: A Conditional Evaluation of Interval and Density Forecasts

Marrocu, Emanuela; Boero, Gianna - Royal Economic Society - RES - 2003

The aim of this paper is to analyse the out-of-sample performance of SETAR models using daily data for the Euro … models. The results show that, in general, the performance of the SETAR models improves significantly for the forecasts … the models are evaluated unconditionally, over the whole forecast period, and conditionally, on the regimes of the SETAR …

Persistent link: https://www.econbiz.de/10005577104

THE PERFORMANCE OF SETAR MODELS : A REGIME CONDITIONAL EVALUATION OF POINT, INTERVAL AND DENSITY FORECASTS

Boero, Gianna; Marrocu, Emanuela - Department of Economics, University of Warwick - 2003

The aim of this paper is to analyse the out-of-sample performance of SETAR models relative to a linear AR and a GARCH … than the SETAR models. However, from the results there is also a clear indication that the performance of the SETAR models …

Persistent link: https://www.econbiz.de/10005368733

Kapetanios, George; Shin, Yongcheol - 2002

This paper investigates GLS detrending procedures for unit root tests against nonlinear stationary alternative hypotheses where deterministic components are assumed present in the series under investigation. It is found that the proposed procedures have considerable power gains in a majority of...

Persistent link: https://www.econbiz.de/10010284144