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| TAR / SETAR: Tự hồi quy ngưỡng cho chuỗi thời gian chuyển đổi chế độ× | Mô hình Tự hồi quy Chuyển đổi Mượt (STAR)× | Hồi quy ngưỡng× | |
|---|---|---|---|
| Lĩnh vực | Kinh tế lượng | Kinh tế lượng | Kinh tế lượng |
| Họ | Regression model | Regression model | Regression model |
| Năm ra đời≠ | 1990 | 1994 | 2000 |
| Người khởi xướng≠ | Howell Tong | Teräsvirta (1994); van Dijk, Teräsvirta & Franses (2002) | Bruce E. Hansen |
| Loại≠ | Nonlinear time-series model with regime switching | Nonlinear time-series regime-switching model | Nonlinear regime-switching regression |
| Công trình gốc≠ | Tong, H. (1990). Non-linear Time Series: A Dynamical System Approach. Oxford University Press. ISBN: 978-0-19-852300-6 | Teräsvirta, T. (1994). Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models. Journal of the American Statistical Association, 89(425), 208–218. DOI ↗ | Hansen, B. E. (2000). Sample Splitting and Threshold Estimation. Econometrica, 68(3), 575-603. DOI ↗ |
| Tên gọi khác≠ | Threshold Autoregression, Self-Exciting Threshold Autoregression, SETAR Model, Eşik Otoregresyon | smooth transition autoregressive model, LSTAR, ESTAR, logistic STAR | threshold model, regime-switching regression, sample splitting model, Eşik Değer Regresyonu (Threshold Regression) |
| Liên quan≠ | 2 | 4 | 5 |
| Tóm tắt≠ | 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. | The Smooth Transition Autoregressive (STAR) model is a nonlinear time-series model, developed in Teräsvirta's 1994 framework, that lets the dynamics move smoothly rather than abruptly between two regimes. The logistic variant (LSTAR) captures asymmetric business cycles and the exponential variant (ESTAR) captures purchasing-power-parity deviations. | 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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