SETAR (model)

SETAR stands for Self-Exciting Threshold Autoregressive model. It's a type of time series model used for capturing nonlinear relationships in data. The primary characteristic of a SETAR model is that it allows the dynamics of the time series to change depending on whether the value of the series crosses a certain threshold. ### Key Features of SETAR Models: 1. **Threshold Mechanism**: The model is divided into different regimes (or states) based on a threshold variable.