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State-Dependent Threshold STAR Models

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  • Michael J. Dueker
  • Zacharias Psaradakis
  • Martin Sola
  • Fabio Spagnolo

Abstract

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.

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Bibliographic Info

Paper provided by Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) in its series UFAE and IAE Working Papers with number 818.10.

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Length: 36
Date of creation: 22 Apr 2010
Date of revision:
Handle: RePEc:aub:autbar:818.10

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Keywords: Nonlinear autoregressive models; Smooth transition; Threshold; Interest rates.;

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Cited by:
  1. Michael J. Dueker & Michael T. Owyang & Martin Sola, 2010. "A time-varying threshold STAR model of unemployment and the natural rate," Working Papers 2010-029, Federal Reserve Bank of St. Louis.

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