Siyaset Ekonomi ve Yönetim Araştırmaları Dergisi

Yazarlar: Serkan TAŞTAN, Nilgün ÇİL

Konular:-

Anahtar Kelimeler:Self-Exciting Threshold Autoregressive,SETAR,Genetic Algorithms,Model Specification

Özet: Even though, self-exciting threshold autoregressive SETAR models commonly used in nonlinear time series analysis nowadays have a simple, easy to understand and interpret model form, there are many free parameters to estimate, when building the models in question. Therefore in this paper the process of specification of SETAR models were considered as an optimization problem and the related problem was solved with genetic algorithms. In this context genetic algorithm components were defined for the discussed problem and appropriate parameters were determined for the algorithm. The usability of the proposed approach is shown by evaluating it with simulation data.

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