Threshold in STR models
Posted: Fri Sep 08, 2017 1:44 pm
Good evening
When working with the outlier-adjusted nonlinear tests for STR models, I have a doubt regarding the REGSTRTEST procedure. If I understand well, by default (if I do not say anything in the command) it takes one lag of the threshold I consider. But that threshold, as it is an STR model and not a STAR one, can be "any variable", as an explanatory one (x1, let's say). Why does it happens? If I consider Xt as my threshold variable (contemporaneous variable), does the program considers Xt or Xt-1 in the calculations?
Thank you beforehand.
When working with the outlier-adjusted nonlinear tests for STR models, I have a doubt regarding the REGSTRTEST procedure. If I understand well, by default (if I do not say anything in the command) it takes one lag of the threshold I consider. But that threshold, as it is an STR model and not a STAR one, can be "any variable", as an explanatory one (x1, let's say). Why does it happens? If I consider Xt as my threshold variable (contemporaneous variable), does the program considers Xt or Xt-1 in the calculations?
Thank you beforehand.