Threshold in STR models

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Estefaniame
Posts: 13
Joined: Wed Apr 12, 2017 11:13 am

Threshold in STR models

Unread post by Estefaniame »

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.
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Threshold in STR models

Unread post by TomDoan »

If it's an exogenous variable, you can use a delay (D option) of 0.
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