Specification search in nonlinear time-series models using the genetic algorithm.

DOI10.1016/S0165-1889(00)00083-XMaRDI QIDQ5958232zbMATH OpenFDO

Authors Michael Beenstock, George Szpiro

Publication date 3 March 2002

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1889(00)00083-X

zbMATH Keywords

genetic algorithmnonlinear time-seriesstationarity tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Approximation methods and heuristics in mathematical programming (90C59) Economic time series analysis (91B84)

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Cites work

• A Reality Check for Data Snooping
• A search for hidden relationships: Data mining with genetic algorithms
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Constructive data mining: modeling consumers' expenditurein Venezuela
• Data mining with local model specification uncertainty: a discussion of Hoover and Perez
• Functional search in economics using genetic programming
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• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• On the convergence of genetic learning in a double auction market
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Testing for Unit Roots and Non-linear Transformations
• The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
• Using a genetic algorithm to determine an index of leading economic indicators

Cited in

(10)

• A search for hidden relationships: Data mining with genetic algorithms
• Evolutionary computation of a deterministic switching regressions estimator
• On the selection of subset bilinear time series models: a genetic algorithm approach
• Non-dominated solutions for time series learning and forecasting. Generating models with a generic two-phase Pareto loca search with VND
• Obtaining functional form for chaotic time series evolution using genetic algorithm
• Estimation of structural changes in nonlinear time series models by using particle filters and genetic programming
• Genetic algorithms for building double threshold generalized autoregressive conditional heteroscedastic models of time series
• Time-varying multi-regime models fitting by genetic algorithms
• A HYBRID GENETIC ALGORITHM FOR THE MAXIMUM LIKELIHOOD ESTIMATION OF MODELS WITH MULTIPLE EQUILIBRIA: A FIRST REPORT
• Model identification of ARIMA family using genetic algorithms

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