ref.mTAR: Refine A Fitted 2-Regime Multivariate TAR Model

Description Usage Arguments Value Examples

Description

Refine a fitted 2-regime multivariate TAR model using "thres" as threshold for t-ratios.

Usage

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ref.mTAR(m1, thres = 1)

Arguments

m1

a fitted mTAR object.

thres

threshold value.

Value

ref.mTAR returns a list with following components:

data

data matrix, y.

arorder

AR orders of regimes 1 and 2.

sigma

estimated innovational covariance matrices of regimes 1 and 2.

beta

a (p*k+1)-by-(2k) matrices. The first k columns show the estimation results in regime 1, and the second k columns shows these in regime 2.

residuals

estimated innovations.

sresi

standard residuals.

criteria

overall information criteria.

Examples

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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)
y=mTAR.sim(100,0,phi1,phi2,sigma1,sigma2,c1,c2,delay,ini=500)
est=mTAR.est(y$series,c(1,1),0,delay)
ref.mTAR(est,0)

NTS documentation built on Aug. 6, 2020, 5:08 p.m.

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