Yıl 2012,
Cilt: 2 Sayı: 1, 1 - 18, 01.03.2012
Öz
Bu çalışmada, eşiksel otoregresif (TAR) modeller sınıfından kendinden uyarımlı eşiksel otoregresif (SETAR) modelin yapısı üzerinde durulmuştur. Model parametrelerini belirlemek için Tsay (1989)’in önerdiği yöntem kullanılmıştır. Farklı rejimlerde ortalamanın yanı sıra varyansta da eşiksellik yapısı düşünülerek varyansın modellenmesine çalışılmıştır. Uygulama verisi olarak 03.01.2005-30.12.2011 dönemini kapsayan serbest piyasadaki günlük altın fiyatları serisi TL cinsinden alınarak bir model oluşturulmuştur
Anahtar Kelimeler
Kaynakça
- Baragona, R., Battaglia, F., (2004), “Estimating threshold subset autoregressive movingaverage models by generic algorithms”, METRON- International Journal of Statistics, vol. LXII, No:1, 39-46.
- Campenhout B.V., (2006), “Modelling trends in food market integration: Method and an application to Tanzanian maize markets”, Food Policy, Volume 32, Issue 1.
- Chen, J., (2012), “Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation”, Paris-Jourdan Sciences Economiques, CNRS : UMR8545.
- Clements, M., Smith, J., (2001), “Evaluating Forecasts from SETAR Models of Exchange Rates”, Journal of International Money and Finance, vol.20, 133-148.
- Dufrenot, G., Guegan, D., Peguin-Feissolle, A., (2008), “Changing-regime volatility: a fractionally integrated SETAR model” Applied Financial Economics, Taylor and Francis Journals, vol. 18(7), 519-526.
- Engle, R.F., (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, Vol. 50, No. 4, 987-1008.
- Feng, H., Liu, J., (2003), “A SETAR model for Canadian GDP: non-linearities and forecast comparisons”, Applied Economics, Volume 35, Issue 18.
- Franses, P.H., Dijk, D., (2000), Nonlinear Time Series Models in Empirical Finance, Cambridge University Press, Cambridge.
- Galeano, P., Pena, D., (2007), “Improved model selection criteria for SETAR time series models”, Journal of Statistical Planning and Inference, Volume: 137, Issue: 9, 28022814.
- Gonzalo, J., Wolf, M., (2005), “Subsampling inference in threshold autoregressive models”, Journal of Econometrics, 127, 201–224.
- Huang, B.N., Hwang, M.J., Peng, H.P., (2005), “The asymmetry of the impact of oil price shocks on economic activities: An application of the multivariate threshold model”, Energy Economics, Volume 27, Issue 3.
- Hutchison, M., Kendall, J., Pasricha, G., Singh, N., (2010), “Indian Capital Control Liberalization: Evidence from NDF markets”, Munich Personal RePEc Archive.
- Kajitani, Y., Keith, W.H., Mcleod, A.I., (2005), “Forecasting nonlinear time series with feedforward meural networks: a case study of Canadian lynx data”, Journal of Forecasting, Volume 24, Issue 2.
- Kapetanios, G., Shin, Y., (2006), “Unit root tests in three-regime SETAR models”, The Econometrics Journal, Vol. 9, Issue 2, 252-278.
- Khadaroo, A.J., (2005), “A threshold in inflation dynamics: evidence from emerging countries”, Applied Economics, Volume 37, Issue 6.
- Kınacı, İ., (2005), Lineer Olmayan Zaman Serisi Modelleri, Selçuk Üniversitesi Fen Bilimleri Enstitüsü Doktora Tezi, Konya.
- Li, C.W., Li, W.K., (1996), “On a Double Threshold Autoregressive Heteroscedastic Time Series Model”, Journal of applied Econometrics, vol. 11, 253-274.
- Montgomery, A., Zarnowitz, V., Tsay, R.S., Tiao, G., (1998), “Forecasting the US unemployment Rate”, Journal of the American Statistical Assosication, vol:93, 478-493.
- Pinson, P., Christensen, L.E.A., Madsen, H., Sørensen, P.E., Donovan, M.H., Jensen, L.E., (2008), “Regime-switching modeling of the fluctuations of offshore wind generation”, Journal of Wind Engineering and Industrial Aerodynamics, Volume 96, Issue 12.
- Seo, M.H., (2008), “Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap,” Econometric Theory, 24, 1699-1716.
- Strikholm, B., Teräsvirta, T., (2006), “A sequential procedure for determining the number of regimes in a threshold autoregressive model,” Econometrics Journal, 9, 472-491.
- Tekşen Kahraman, Ü.M., (2012), “Çok Değişkenli Eşiksel Otoregresif Modeller Üzerine Bir Çalışma”, Yayımlanmamış Doktora Tezi, Selçuk Üniversitesi Fen Bilimleri Enstitüsü, Konya.
- Tong, H. and Lim, K.S., (1980), “Threshold Autoregression, Limit Cycles and Cyclial Data”, Journal of the Royal Statistical Society, Ser. B, 42, 245-292.
- Tong, H., (1978), “On a threshold model”, In Pattern Recognition and Signal Processing (C. H. Chen, ed.) 101--141. Sijthoff and Noordhoff, Amsterdam.
- Tong, H., (1990), Non-linear Time Series: A Dynamical System Approach, Oxford University Press, New York.
- Tsay, R., (1989), “Testing and Modelling Threshold Autogressive Processes”, Journal of the American Statistical Association, 84: 231-240.
- Weiss, A.A., (1986), “Asymptotic Theory for ARCH Models: Estimation and Testing”, Econometric Theory, Vol. 2, No. 1, pp. 107-131.
- Yang, X.H., Li, Y.Q., (2012), “DNA Optimization Threshold Autoregressive Prediction Model and Its Application in Ice Condition Time Series”, Hindawi Publishing Corporation Mathematical Problems in Engineering, Volume 2012, Article ID 191902, 10 pages, doi:10.1155/2012/191902.
Yıl 2012,
Cilt: 2 Sayı: 1, 1 - 18, 01.03.2012
Öz
Kaynakça
- Baragona, R., Battaglia, F., (2004), “Estimating threshold subset autoregressive movingaverage models by generic algorithms”, METRON- International Journal of Statistics, vol. LXII, No:1, 39-46.
- Campenhout B.V., (2006), “Modelling trends in food market integration: Method and an application to Tanzanian maize markets”, Food Policy, Volume 32, Issue 1.
- Chen, J., (2012), “Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation”, Paris-Jourdan Sciences Economiques, CNRS : UMR8545.
- Clements, M., Smith, J., (2001), “Evaluating Forecasts from SETAR Models of Exchange Rates”, Journal of International Money and Finance, vol.20, 133-148.
- Dufrenot, G., Guegan, D., Peguin-Feissolle, A., (2008), “Changing-regime volatility: a fractionally integrated SETAR model” Applied Financial Economics, Taylor and Francis Journals, vol. 18(7), 519-526.
- Engle, R.F., (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, Vol. 50, No. 4, 987-1008.
- Feng, H., Liu, J., (2003), “A SETAR model for Canadian GDP: non-linearities and forecast comparisons”, Applied Economics, Volume 35, Issue 18.
- Franses, P.H., Dijk, D., (2000), Nonlinear Time Series Models in Empirical Finance, Cambridge University Press, Cambridge.
- Galeano, P., Pena, D., (2007), “Improved model selection criteria for SETAR time series models”, Journal of Statistical Planning and Inference, Volume: 137, Issue: 9, 28022814.
- Gonzalo, J., Wolf, M., (2005), “Subsampling inference in threshold autoregressive models”, Journal of Econometrics, 127, 201–224.
- Huang, B.N., Hwang, M.J., Peng, H.P., (2005), “The asymmetry of the impact of oil price shocks on economic activities: An application of the multivariate threshold model”, Energy Economics, Volume 27, Issue 3.
- Hutchison, M., Kendall, J., Pasricha, G., Singh, N., (2010), “Indian Capital Control Liberalization: Evidence from NDF markets”, Munich Personal RePEc Archive.
- Kajitani, Y., Keith, W.H., Mcleod, A.I., (2005), “Forecasting nonlinear time series with feedforward meural networks: a case study of Canadian lynx data”, Journal of Forecasting, Volume 24, Issue 2.
- Kapetanios, G., Shin, Y., (2006), “Unit root tests in three-regime SETAR models”, The Econometrics Journal, Vol. 9, Issue 2, 252-278.
- Khadaroo, A.J., (2005), “A threshold in inflation dynamics: evidence from emerging countries”, Applied Economics, Volume 37, Issue 6.
- Kınacı, İ., (2005), Lineer Olmayan Zaman Serisi Modelleri, Selçuk Üniversitesi Fen Bilimleri Enstitüsü Doktora Tezi, Konya.
- Li, C.W., Li, W.K., (1996), “On a Double Threshold Autoregressive Heteroscedastic Time Series Model”, Journal of applied Econometrics, vol. 11, 253-274.
- Montgomery, A., Zarnowitz, V., Tsay, R.S., Tiao, G., (1998), “Forecasting the US unemployment Rate”, Journal of the American Statistical Assosication, vol:93, 478-493.
- Pinson, P., Christensen, L.E.A., Madsen, H., Sørensen, P.E., Donovan, M.H., Jensen, L.E., (2008), “Regime-switching modeling of the fluctuations of offshore wind generation”, Journal of Wind Engineering and Industrial Aerodynamics, Volume 96, Issue 12.
- Seo, M.H., (2008), “Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap,” Econometric Theory, 24, 1699-1716.
- Strikholm, B., Teräsvirta, T., (2006), “A sequential procedure for determining the number of regimes in a threshold autoregressive model,” Econometrics Journal, 9, 472-491.
- Tekşen Kahraman, Ü.M., (2012), “Çok Değişkenli Eşiksel Otoregresif Modeller Üzerine Bir Çalışma”, Yayımlanmamış Doktora Tezi, Selçuk Üniversitesi Fen Bilimleri Enstitüsü, Konya.
- Tong, H. and Lim, K.S., (1980), “Threshold Autoregression, Limit Cycles and Cyclial Data”, Journal of the Royal Statistical Society, Ser. B, 42, 245-292.
- Tong, H., (1978), “On a threshold model”, In Pattern Recognition and Signal Processing (C. H. Chen, ed.) 101--141. Sijthoff and Noordhoff, Amsterdam.
- Tong, H., (1990), Non-linear Time Series: A Dynamical System Approach, Oxford University Press, New York.
- Tsay, R., (1989), “Testing and Modelling Threshold Autogressive Processes”, Journal of the American Statistical Association, 84: 231-240.
- Weiss, A.A., (1986), “Asymptotic Theory for ARCH Models: Estimation and Testing”, Econometric Theory, Vol. 2, No. 1, pp. 107-131.
- Yang, X.H., Li, Y.Q., (2012), “DNA Optimization Threshold Autoregressive Prediction Model and Its Application in Ice Condition Time Series”, Hindawi Publishing Corporation Mathematical Problems in Engineering, Volume 2012, Article ID 191902, 10 pages, doi:10.1155/2012/191902.
Toplam 28 adet kaynakça vardır.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 1 Mart 2012 |
| Yayımlandığı Sayı | Yıl 2012Cilt: 2 Sayı: 1 |