| Nowadays, during the increasingly diverse development of economy, the research about the economic activities is more and more important. One of the most common econometric models is the time series model. But with the evolving economic activities, the linear time series models which has been developed well, can not effectively explain some complex economic phenomena. One of the reasons is that many of the economic performance are non-linear phenomena, such as the consumer price index, the RMB exchange rate, the housing price index and stock price index. Also thanks to the development of computer technology, more complex operations can be carried out. So using the non-linear model to describe the kind of economic phenomena is more appropriate. But for some specific economic issues, how to establish a suitable non-linear model is relatively difficult.This paper introduces several common threshold regression models. Then we focus on one nonlinear time series model which is called STAR, discussing its test methods and some nonlinear estimation methods. Finally, we introduce a expanded form of the STAR model-multiple mechanisms smooth transi-tion model. In recent years, there were many articles about the expansibility research in this area. Most of them stay in the theoretical stage, so the em-pirical studies are rare. This article will go on to discuss the general situation of multiple regimes smooth transition model, and show some application of the proposed ONSTAR model and choose the right transfer function to get an efficient estimate. Empirical aspect, since the consumer price index (abbreviated as CPI, Consumer Price Index), the reaction of the national economy, is a good-or-bad economic barometer, which not only can be used to determine a country’s macroeconomic situation and also often be used to determine inflation or not. The economy in our country is in an important juncture of the transition. In the short term, the economy will face inflationary pressures to some extent, but with the smooth progress of China’s market reform, the price index has also entered into a relatively stable stage. Above all, the study of the consumer price index has important significance. So this paper selects the consumer price index as the research object, on China’s existing monthly CPI data (1992.11-2014.01). And for further evaluation, we will model its nonlinearity, test the model and predict the next11months the CPI. |
