Smooth Threshold Regression (STR and STAR)
EViews 9 introduced Threshold Regression (TR) and Threshold Autoregression (TAR) models, and EViews 10 expands up these model by adding Smooth Threshold Regression and Smooth Threshold Autoregression as options.
In STR models the regime switching that occurs when an observed variable crosses unknown thresholds happens smoothly. As a result, STR models are often considered to have more “realistic” dynamics that their discrete TR model counterparts.
EViews’ implementation of STR includes features such as:
Estimation of parameters for both shape and location of the smooth threshold.
Model selection for the threshold variable.
Specification of both regieme varying and regieme non-varying regressors.
Robust Standard Error Additions
EViews has included both White and Heteroskedasticity and Autocorrelation Consistent Covariance (HAC) estimators of the least-squares covariance matrix for over twenty years.
EViews 10 expands upon these robust standard error options with the addition of a family of heteroskedastic consistent covariance, and clustered standard errors.