Description Usage Arguments Value References Examples
Estimation of a multivariate two-regime SETAR model, including threshold. The procedure of Li and Tong (2016) is used to search for the threshold.
1 2 3 4 5 6 7 8 9 10 11 12 |
y |
a ( |
p1 |
AR-order of regime 1. |
p2 |
AR-order of regime 2. |
thr |
threshold variable. Estimation is needed if |
thrV |
vector of threshold variable. If it is not null, thrV must have the same sample size of that of y. |
delay |
two elements (i,d) with "i" being the component and "d" the delay for threshold variable. |
Trim |
lower and upper quantiles for possible threshold value. |
k0 |
the maximum number of threshold values to be evaluated. |
include.mean |
logical values indicating whether constant terms are included. |
score |
the choice of criterion used in selection threshold, namely (AIC, det(RSS)). |
mTAR returns a list with the following components:
data |
the data matrix, y. |
beta |
a ( |
arorder |
AR orders of regimes 1 and 2. |
sigma |
estimated innovational covariance matrices of regimes 1 and 2. |
residuals |
estimated innovations. |
nobs |
numbers of observations in regimes 1 and 2. |
model1, model2 |
estimated models of regimes 1 and 2. |
thr |
threshold value. |
delay |
two elements ( |
thrV |
vector of threshold variable. |
D |
a set of positive threshold values. |
RSS |
residual sum of squares. |
information |
overall information criteria. |
cnst |
logical values indicating whether the constant terms are included in regimes 1 and 2. |
sresi |
standardized residuals. |
Li, D., and Tong. H. (2016) Nested sub-sample search algorithm for estimation of threshold models. Statisitca Sinica, 1543-1554.
1 2 3 4 5 6 7 8 9 10 11 12 | phi1=matrix(c(0.5,0.7,0.3,0.2),2,2)
phi2=matrix(c(0.4,0.6,0.5,-0.5),2,2)
sigma1=matrix(c(1,0,0,1),2,2)
sigma2=matrix(c(1,0,0,1),2,2)
c1=c(0,0)
c2=c(0,0)
delay=c(1,1)
Trim=c(0.2,0.8)
include.mean=TRUE
y=mTAR.sim(1000,0,phi1,phi2,sigma1,sigma2,c1,c2,delay,ini=500)
est=mTAR(y$series,1,1,0,y$series,delay,Trim,300,include.mean,"AIC")
est2=mTAR(y$series,1,1,NULL,y$series,delay,Trim,300,include.mean,"AIC")
|
Input error in thrV. Reset to a SETAR model
Threshold: 0
Regime 1 with sample size: 572
Model for the 1 -th component (including constant, if any):
est s.e. t-ratio
[1,] -0.0217 0.0683 -0.3176
[2,] 0.5390 0.0491 10.9782
[3,] 0.2675 0.0279 9.6028
Model for the 2 -th component (including constant, if any):
est s.e. t-ratio
[1,] -0.0038 0.0700 -0.0543
[2,] 0.7016 0.0503 13.9369
[3,] 0.1874 0.0286 6.5628
sigma:
[,1] [,2]
[1,] 0.91518743 0.02272492
[2,] 0.02272492 0.96208513
Information(aic,bix,hq): -63.13902 -41.39332 -54.65582
Regime 2 with sample size: 427
Model for the 1 -th component (including constant, if any):
est s.e. t-ratio
[1,] 0.1184 0.0790 1.4992
[2,] 0.3529 0.0618 5.7105
[3,] 0.4563 0.0383 11.9281
Model for the 2 -th component (including constant, if any):
est s.e. t-ratio
[1,] 0.0326 0.0811 0.4018
[2,] 0.5937 0.0635 9.3533
[3,] -0.5407 0.0393 -13.7592
sigma:
[,1] [,2]
[1,] 0.99425943 -0.05610938
[2,] -0.05610938 1.04933626
Information(aic,bic,hq): 26.81466 47.09858 34.82645
Overall pooled estimate of sigma:
[,1] [,2]
[1,] 0.94898498 -0.01097103
[2,] -0.01097103 0.99937866
Overall information criteria(aic,bic,hq): -36.32436 5.70526 -19.82937
Input error in thrV. Reset to a SETAR model
Estimated Threshold: -0.02540375
Regime 1 with sample size: 569
Model for the 1 -th component (including constant, if any):
est s.e. t-ratio
[1,] -0.0293 0.0688 -0.4257
[2,] 0.5371 0.0493 10.9000
[3,] 0.2636 0.0280 9.4108
Model for the 2 -th component (including constant, if any):
est s.e. t-ratio
[1,] -0.0009 0.0704 -0.0123
[2,] 0.7002 0.0504 13.8930
[3,] 0.1927 0.0287 6.7268
sigma:
[,1] [,2]
[1,] 0.91599927 0.02499769
[2,] 0.02499769 0.95827775
Information(aic,bix,hq): -64.57853 -42.85913 -56.10362
Regime 2 with sample size: 430
Model for the 1 -th component (including constant, if any):
est s.e. t-ratio
[1,] 0.1211 0.0780 1.5522
[2,] 0.3509 0.0612 5.7307
[3,] 0.4586 0.0378 12.1344
Model for the 2 -th component (including constant, if any):
est s.e. t-ratio
[1,] 0.0437 0.0803 0.5436
[2,] 0.5864 0.0630 9.3031
[3,] -0.5363 0.0389 -13.7849
sigma:
[,1] [,2]
[1,] 0.98909600 -0.05273914
[2,] -0.05273914 1.04810883
Information(aic,bic,hq): 24.33488 44.65381 32.35822
Overall pooled estimate of sigma:
[,1] [,2]
[1,] 0.947462326 -0.008462609
[2,] -0.008462609 0.996943783
Overall information criteria(aic,bic,hq): -40.24365 1.794681 -23.7454
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