tsDyn

Nonlinear Time Series Models with Regime Switching

Implements nonlinear autoregressive (AR) time series models. For univariate series, a non-parametric approach is available through additive nonlinear AR. Parametric modeling and testing for regime switching dynamics is available when the transition is either direct (TAR: threshold AR) or smooth (STAR: smooth transition AR, LSTAR). For multivariate series, one can estimate a range of TVAR or threshold cointegration TVECM models with two or three regimes. Tests can be conducted for TVAR as well as for TVECM (Hansen and Seo 2002 and Seo 2006).

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Description file content

Package
tsDyn
Type
Package
Title
Nonlinear Time Series Models with Regime Switching
Version
0.9-48
Date
2018-05-20
Depends
R (>= 2.10)
Imports
mnormt, mgcv, nnet, tseriesChaos, tseries, utils, vars, urca, forecast, MASS, Matrix, foreach, methods
Suggests
sm, scatterplot3d, rgl
Maintainer
Matthieu Stigler
Description
Implements nonlinear autoregressive (AR) time series models. For univariate series, a non-parametric approach is available through additive nonlinear AR. Parametric modeling and testing for regime switching dynamics is available when the transition is either direct (TAR: threshold AR) or smooth (STAR: smooth transition AR, LSTAR). For multivariate series, one can estimate a range of TVAR or threshold cointegration TVECM models with two or three regimes. Tests can be conducted for TVAR as well as for TVECM (Hansen and Seo 2002 and Seo 2006).
License
GPL (>= 2)
URL
MailingList
tsdyn@googlegroups.com
RoxygenNote
6.0.1
NeedsCompilation
yes
Packaged
2018-05-20 22:28:25 UTC; matifou
Author
Antonio Fabio Di Narzo [aut], Jose Luis Aznarte [ctb], Matthieu Stigler [aut, cre]
Repository
CRAN
Date/Publication
2018-06-03 21:12:51 UTC

install.packages('tsDyn')

0.9-48

11 months ago

http://github.com/MatthieuStigler/tsDyn/wiki

Matthieu Stigler

GPL (>= 2)

Depends on

R (>= 2.10)

Imports

mnormt, mgcv, nnet, tseriesChaos, tseries, utils, vars, urca, forecast, MASS, Matrix, foreach, methods

Suggests

sm, scatterplot3d, rgl

Discussions