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

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