Regression modelRegime models
TAR / SETAR：用于机制转换时间序列的门限自回归模型
TAR和SETAR是由Howell Tong（1990）引入的非线性自回归模型，它允许时间序列在由一个或多个门限值分隔的不同机制中遵循不同的线性动态。SETAR是自激变体，其中门限变量是序列本身的滞后值，这使得它特别适用于经济和金融数据中观察到的周期、不对称调整和极限环行为。
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来源
- Tong, H. (1990). Non-linear Time Series: A Dynamical System Approach. Oxford University Press. ISBN: 978-0-19-852300-6
如何引用本页
ScholarGate. (2026, June 2). Threshold / Self-Exciting Threshold Autoregression (TAR/SETAR). ScholarGate. https://scholargate.app/zh/econometrics/tar-setar
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- 光滑转换自回归 (STAR) 模型计量经济学↔ compare
- 阈值回归计量经济学↔ compare