Editor's Introduction: Regime Switching and Threshold Models

摘要

This special issue of the Journal of Business & Economic Statistics (April) on regime switching and threshold models is motivated by the mounting empirical evidence of important nonlineari-ties in regression models commonly used to model the dynamics in macroeconomic and financial time series. Commonly cited examples include the very different behavior of second moments for many macroeconomic time series before and after the Great Moderation in the early eighties, the different behavior of U.S. interest rates during the Federal Reserve's Monetarist Experiment from 1979-1982, and the behavior of a variety of risk indicators during the more recent global financial crisis. These are episodes that can be difficult to model in the context of standard linear regression models.