State-Dependent Threshold STAR Models

In this paper we consider extensions of smooth transition autoregressive (STAR) models to situations where the threshold is a time-varying 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 logistic STAR and contemporaneous-threshold STAR models are introduced and discussed. These models are also used to investigate the dynamics of U.S. short-term interest rates, where the threshold is allowed to be a function of past output growth and inflation.

He gratefully acknowledges financial support from the Ministerio de Educacion.

JEL Classification: C22; E43

Peer reviewed

Country

Spain

Related Organizations

UNIVERSITY OF LONDON
United Kingdom
University of London
United Kingdom

Keywords

Sèries temporals -- Anàlisi, Threshold, Nonlinear autoregressive models; Smooth transition; Threshold; Interest rates., Nonlinear autoregressive models, Interest rates, Anàlisi de regressió, Smooth transition, jel:C22, jel: jel:E43, jel: jel:C22

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