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

In NTS: Nonlinear Time Series Analysis

Refine A Fitted 2-Regime Multivariate TAR Model

Description

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

Usage

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

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 Sept. 25, 2023, 1:08 a.m.