SOME REGIME-SWITCHING MODELS FOR ECONOMIC TIME SERIES: A COMPARATIVE STUDY

Authors : Dursun AYDIN, Selman MERMİ

Pages : 48-69

Doi:10.18038/estubtda.881251

View : 13 | Download : 9

Publication Date : 2022-03-30

Article Type : Research Paper

Abstract :This paper mainly discusses some regime-switching models and explore their usefulness in modeling the economic time series. In recent years, several time series models have been proposed which shape the idea of the existence of different regimes produced by a stochastic process. Especially, nonlinear time series models have gained more attention because linear time series models faced various limitations. The purpose of this study is to establish the methodology of the Self-Exciting Threshold Autoregressive insert ignore into journalissuearticles values(SETAR); model, Smooth Transition Autoregressive insert ignore into journalissuearticles values(STAR); model and Markov-Switching insert ignore into journalissuearticles values(MSW); model from parametric nonlinear time series models in the mean and to compare these models with each other through two financial data sets. For this purpose, some theoretical information on the subject models are given without going into too much detail. In the light of the obtained theoretical information, all models are modeled by using two financial data sets. The obtained models are compared with the help of some performance criteria, measurement of relative efficiency and graph showing the relation of the actual-fitted values of the models.
Keywords : Markov Switching Model, Nonlinear Time Series Models, SETAR, STAR