Title: Contemporaneous threshold autoregressive models
Description: "This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Ters̃virta (1998).  Because it uses a forward-looking approach to weight the regimes, in contrast to the typical lagged threshold model, the C-STAR model is well-suited to forward-looking rational expectations applications, such as bond pricing.  We present an application to the pricing of bonds under the Expectations Hypothesis with a C-STAR driving process for the short-term rate"--Federal Reserve Bank of St. Louis web site.
Subjects: Regression analysis