|
EconStor >
Institut für Wirtschaftsforschung Halle (IWH) >
IWH-Diskussionspapiere >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/37070
|
| | |
| Title: | | An evolutionary algorithm for the estimation of threshold Vector error correction models  |
| Authors: | | El-Shagi, Makram |
| Issue Date: | | 2010 |
| Series/Report no.: | | IWH-Diskussionspapiere 2010,1 |
| Abstract: | | We develop an evolutionary algorithm to estimate Threshold Vector Error Correction models (TVECM) with more than two cointegrated variables. Since disregarding a threshold in cointegration models renders standard approaches to the estimation of the cointegration vectors inefficient, TVECM necessitate a simultaneous estimation of the cointegration vector(s) and the threshold. As far as two cointegrated variables are considered this is commonly achieved by a grid search. However, grid search quickly becomes computationally unfeasible if more than two variables are cointegrated. Therefore, the likelihood function has to be maximized using heuristic approaches. Depending on the precise problem structure the evolutionary approach developed in the present paper for this purpose saves 90 to 99 per cent of the computation time of a grid search. |
| Subjects: | | Strategy Genetic Algorithm TVECM Strategie Genetischer Algorithmus Vektorfehlerkorrekturmodelle |
| JEL: | | C61 C32 |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des IWH IWH-Diskussionspapiere
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|