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Estimating Threshold Autoregressive (TAR) Models in EViews: A Comprehensive Guide
"Threshold Autoregressive (TAR) models allow for the analysis of time series data where the relationship between variables changes depending on the state of the system. In EViews, these models are estimated using the Threshold Regression estimation method within the Equation object, which provides tools for identifying threshold values, testing for non-linearity, and estimating regime-specific coefficients. The Threshold Autoregressive (TAR) model, and its "Self-Exciting" variant (SETAR), represent a significant leap from linear econometrics into the realm of non-linear dynamics. While linear models assume that the impact of an independent var..."
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