Non linear autoregressive model
SETAR model ( 2 regimes)
Coefficients:
Low regime:
phiL.1 phiL.2 const L
-3.704568e-01 9.130876e-02 8.929818e-05
High regime:
phiH.1 phiH.2 const H
-0.07649279 0.20555056 0.09127216
Threshold:
-Variable: Z(t) = + (1) X(t)+ (0)X(t-1)
-Value: 0.05569
Proportion of points in low regime: 37.93% High regime: 62.07%


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