1. E

    Threshold Autoregressive (TAR) Model with exogenous variables (TARX)

    Anyone have experience with these models? From what I remember about VAR is that adding exogenous variables to model a VARX is straightforward. Simply specify the VAR with the exogenous variables as independent variables and estimates are consistent. So is a TAR model the same? TAR...
  2. E

    Exogenous Regime Switching Models

    Hi, I'm new to the site, so bear with me! I currently have a model that measures inflation expectations as follows: y(t) = a*x(t) + (1-a)*y(t-1) I'm looking to create a regime switching models that change the values of "a" based upon a shock to an exogenous variable (let's say...