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| TAR / SETAR: Tröskelautoregression för tidsserier med regimskiften× | Tröskelregression× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1990 | 2000 |
| Upphovsperson≠ | Howell Tong | Bruce E. Hansen |
| Typ≠ | Nonlinear time-series model with regime switching | Nonlinear regime-switching regression |
| Ursprungskälla≠ | 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. DOI ↗ |
| Alias | Threshold Autoregression, Self-Exciting Threshold Autoregression, SETAR Model, Eşik Otoregresyon | threshold model, regime-switching regression, sample splitting model, Eşik Değer Regresyonu (Threshold Regression) |
| Närliggande≠ | 2 | 5 |
| Sammanfattning≠ | 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. |
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