State-Dependent Threshold Smooth Transition Autoregressive Models

• Autores: Michael J. Dueker, Zacharias Psaradakis, Martin Sola, Fabio Spagnolo
• Localización: Oxford bulletin of economics and statistics, ISSN 0305-9049, Vol. 75, Nº. 6, 2013, págs. 835-854
• Idioma: inglés
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• Resumen

  • In this article, we consider extensions of smooth transition autoregressive (STAR) models to situations where the threshold is a function of variables that affect the separation of regimes of the time series under consideration. Our specification is motivated by the observation that unusually high/low values for an economic variable may sometimes be best thought of in relative terms. State-dependent contemporaneous-threshold STAR and logistic STAR models are introduced and discussed. These models are also used to investigate the dynamics of US short-term interest rates, where the threshold is allowed to be a function of past output growth and inflation.