Regression model
光滑转换自回归 (STAR) 模型
光滑转换自回归 (STAR) 模型是一种非线性时间序列模型，在 Teräsvirta 于 1994 年提出的框架下开发，它允许动态在两个状态之间平滑而非突然地移动。逻辑斯蒂变体 (LSTAR) 捕捉非对称的商业周期，而指数变体 (ESTAR) 捕捉购买力平价偏差。
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来源
- Teräsvirta, T. (1994). Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models. Journal of the American Statistical Association, 89(425), 208–218. DOI: 10.1080/01621459.1994.10476462 ↗
- van Dijk, D., Teräsvirta, T. & Franses, P.H. (2002). Smooth Transition Autoregressive Models — A Survey of Recent Developments. Econometric Reviews, 21(1), 1–47. DOI: 10.1081/ETC-120008723 ↗
如何引用本页
ScholarGate. (2026, June 1). Smooth Transition Autoregressive Model. ScholarGate. https://scholargate.app/zh/econometrics/star-model
Which method?
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