Nonlinear Dynamics and Structural Change in the U.S. Hog—Corn Cycle: A Time‐Varying STAR Approach
使用时变平滑转换自回归模型分析1910-2004年美国猪-玉米周期的月度数据，发现非线性、状态依赖行为及参数时变特征，对理解该周期动态有参考价值。
The linearity of the U.S. hog—corn cycle has been questioned by Chavas and Holt (1991). Even so, attempts have not been made to model the potential nonlinear dynamics in the hog—corn cycle by using regime‐switching models. One popular alternative is Teräsvirta's smooth transition autoregressive (STAR) model, which assumes regime switching is endogenous and potentially smooth. In this article, we examine monthly data for the U.S. hog—corn cycle, 1910–2004. A member of the STAR family, the time‐varying STAR, is fitted to the data and its properties examined. We find evidence of nonlinearity, regime‐dependent behavior, and time‐varying parameter change.