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

Dursun Aydın; Selman Mermi

doi:10.18038/estubtda.881251

TR EN

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

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 (SETAR) model, Smooth Transition Autoregressive (STAR) model and Markov-Switching (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

References

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Details

Primary Language

English

Subjects

-

Journal Section

Research Article

Authors

Dursun Aydın
0000-0001-8393-1270
Türkiye

Selman Mermi ^*
0000-0003-3601-6971
Türkiye

Publication Date

March 30, 2022

Submission Date

February 16, 2021

Acceptance Date

March 29, 2022

Published in Issue

Year 2022 Volume: 23 Number: 1

DOI

https://doi.org/10.18038/estubtda.881251

IZ

https://izlik.org/JA25PZ49SD

APA

Aydın, D., & Mermi, S. (2022). SOME REGIME-SWITCHING MODELS FOR ECONOMIC TIME SERIES: A COMPARATIVE STUDY. Eskişehir Technical University Journal of Science and Technology A - Applied Sciences and Engineering, 23(1), 48-69. https://doi.org/10.18038/estubtda.881251

AMA

1.Aydın D, Mermi S. SOME REGIME-SWITCHING MODELS FOR ECONOMIC TIME SERIES: A COMPARATIVE STUDY. Estuscience - Se. 2022;23(1):48-69. doi:10.18038/estubtda.881251

Chicago

Aydın, Dursun, and Selman Mermi. 2022. “SOME REGIME-SWITCHING MODELS FOR ECONOMIC TIME SERIES: A COMPARATIVE STUDY”. Eskişehir Technical University Journal of Science and Technology A - Applied Sciences and Engineering 23 (1): 48-69. https://doi.org/10.18038/estubtda.881251.

EndNote

Aydın D, Mermi S (March 1, 2022) SOME REGIME-SWITCHING MODELS FOR ECONOMIC TIME SERIES: A COMPARATIVE STUDY. Eskişehir Technical University Journal of Science and Technology A - Applied Sciences and Engineering 23 1 48–69.

IEEE

[1]D. Aydın and S. Mermi, “SOME REGIME-SWITCHING MODELS FOR ECONOMIC TIME SERIES: A COMPARATIVE STUDY”, Estuscience - Se, vol. 23, no. 1, pp. 48–69, Mar. 2022, doi: 10.18038/estubtda.881251.

ISNAD

Aydın, Dursun - Mermi, Selman. “SOME REGIME-SWITCHING MODELS FOR ECONOMIC TIME SERIES: A COMPARATIVE STUDY”. Eskişehir Technical University Journal of Science and Technology A - Applied Sciences and Engineering 23/1 (March 1, 2022): 48-69. https://doi.org/10.18038/estubtda.881251.

JAMA

1.Aydın D, Mermi S. SOME REGIME-SWITCHING MODELS FOR ECONOMIC TIME SERIES: A COMPARATIVE STUDY. Estuscience - Se. 2022;23:48–69.

MLA

Aydın, Dursun, and Selman Mermi. “SOME REGIME-SWITCHING MODELS FOR ECONOMIC TIME SERIES: A COMPARATIVE STUDY”. Eskişehir Technical University Journal of Science and Technology A - Applied Sciences and Engineering, vol. 23, no. 1, Mar. 2022, pp. 48-69, doi:10.18038/estubtda.881251.

Vancouver

1.Dursun Aydın, Selman Mermi. SOME REGIME-SWITCHING MODELS FOR ECONOMIC TIME SERIES: A COMPARATIVE STUDY. Estuscience - Se. 2022 Mar. 1;23(1):48-69. doi:10.18038/estubtda.881251

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