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Untersuchung zur Parameterschätzung in SETAR-Modellen by Schönstedt, Leif

Untersuchung zur Parameterschätzung in SETAR-Modellen

by Leif Schönstedt , Kitty Schönstedt
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Book cover type: Paperback
  • ISBN13: 9783838623610
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Diplom.de
  • Publisher Imprint: Diplom.de
  • Publication Date:
  • Pages: 92
  • Original Price: GBP 61.5
  • Language: German
  • Edition: N/A
  • Item Weight: 132 grams
  • BISAC Subject(s): General

Inhaltsangabe: Einleitung: Viele Datenreihen (z.B. aus Ökonomie oder Medizin) weisen nichtlineares Verhalten, wie natürliche Sättigungserscheinungen und Zykliken, auf und lassen sich daher durch lineare AR-Modelle nicht hinreichend gut beschreiben. Das SETAR-Modell (self-exciting threshold autoregressive model) bildet diese Eigenschaften besonders gut ab. Die vorliegende Arbeit ist für den Praktiker geschrieben, der SETAR-Modelle schätzen und mit ihnen Prognosen erstellen will. Die komplizierte Schätzung aller Modellparameter wird in Theorie und Praxis dargelegt, kann aber anhand der beiliegenden Programme, Prozeduren und Beispiele sofort umgesetzt werden. Dabei flie en auch unsere neuen Erkenntnisse auf dem Gebiet der Parameterschätzung ein. In einem abschlie enden Kapitel wird die erarbeitete Identifizierungsprozedur für SETAR-Modelle an bekannten Lehrbuch- und Wirtschaftsreihen getestet. Inhaltsverzeichnis: Inhaltsverzeichnis: 1.EINLEITUNG2 2.MODELLIDENTIFIKATION5 2.1BESTIMMUNG DER EINGANGSORDNUNG5 2.2SCHÄTZUNG DES DELAY-PARAMETERS7 2.3THRESHOLD-BESTIMMUNG10 2.3.1Eine visuelle Methode10 2.3.2Bayes'scher Ansatz11 2.3.2.1Bestimmung der marginalen a-posteriori-Dichte der Thresholds11 2.3.2.2Ein stochastischer Suchalgorithmus15 2.3.2.3Auftretende Effekte24 2.4FINETUNING DER ORDNUNG DES MODELLS25 2.4.1Lineare AR-Techniken25 2.4.2Verbesserte Ordnungsschätzung26 3.DAS PFE-GÜTEKRITERIUM29 3.1VERGLEICH VERSCHIEDENER GÜTEMA E29 3.2DELAY-IDENTIFIZIERUNG DURCH DAS PFE-KRITERIUM30 3.3ANSATZ ZUR IDENTIFIZIERUNG DER REGIMEANZAHL32 3.4THRESHOLDBESTIMMUNG DURCH DAS PFE-KRITERIUM36 4.SIMULATIONEN38 4.1TECHNISCHE VORGEHENSWEISE38 4.2PARAMETERIDENTIFIKATION38 4.3PROBLEMBEREICH: THRESHOLD = 048 5.BEISPIELE51 5.1PROGNOSE VON SETAR-MODELLEN51 5.2LEHRBUCHREIHEN53 5.2.1Sunspot-Daten53 5.2.2Log-Lynx-Daten55 5.3ÖKONOMISCHE REIHEN56 5.3.1Transformation56 5.3.2Deutscher Aktienindex57 5.3.3Standard & Poors 500 Index61 5.3.4US-Dollar in Yen62 6.ZUSAMMENF

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