השוואת שיטות

	TAR / SETAR: אוטורגרסיה סף עבור סדרות עתיות עם מעברי משטר	רגרסיית סף
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1990	2000
הוגה השיטה	Howell Tong	Bruce E. Hansen
סוג	Nonlinear time-series model with regime switching	Nonlinear regime-switching regression
מקור מכונן	Tong, H. (1990). Non-linear Time Series: A Dynamical System Approach. Oxford University Press. ISBN: 978-0-19-852300-6	Hansen, B. E. (2000). Sample Splitting and Threshold Estimation. Econometrica, 68(3), 575-603.
כינויים	Threshold Autoregression, Self-Exciting Threshold Autoregression, SETAR Model, Eşik Otoregresyon	threshold model, regime-switching regression, sample splitting model, Eşik Değer Regresyonu (Threshold Regression)
קשורות	2	5
תקציר	TAR and SETAR are nonlinear autoregressive models introduced by Howell Tong (1990) that allow a time series to follow different linear dynamics in distinct regimes, separated by one or more threshold values. SETAR is the self-exciting variant, in which the threshold variable is a lagged value of the series itself, making it particularly suited to cycles, asymmetric adjustment, and limit-cycle behavior observed in economic and financial data.	Threshold regression is a nonlinear, regime-switching model in which the regression parameters take different values above and below an estimated threshold value of a threshold variable. The sample-splitting and threshold-estimation framework was developed by Bruce E. Hansen (2000) and is widely used for time-series and panel data with structural breaks and regime-dependent relationships.