方法证据记录
TAR / SETAR
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.
源记录
引文逐字复制自方法源记录。这些引文不代表任何层级的验证。
Threshold / Self-Exciting Threshold Autoregression (TAR/SETAR)
分类方法记录 · regression-model / econometrics
- Tong, H. (1990). Non-linear Time Series: A Dynamical System Approach. Oxford University Press. · ISBN 978-0-19-852300-6
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