State‐Dependent Threshold Smooth Transition Autoregressive Models
将平滑转换自回归模型扩展到阈值依赖于其他变量的情形，提出状态依赖阈值模型，并用其研究美国短期利率的动态，其中阈值是过去产出增长和通胀的函数。
Abstract 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.