inst/doc/r192ciTarFit.r

In erer: Empirical Research in Economics with R

\name{ciTarFit}
\alias{ciTarFit}
\alias{print.ciTarFit}
\title{Fitting Threshold Cointegration}

\description{
  Fit a threshold cointegration regression between two time series.
}

\usage{
  ciTarFit(y, x, model = c("tar", "mtar"), lag = 1, thresh = 0,
    small.win, ...)
}

\arguments{
  \item{y}{ dependent or left-side variable for the long-run model; must
     be a time series object.}
  \item{x}{ independent or right-side variable for the long-run model; must
     be a time series object.}
  \item{model}{ a choice of two models: \code{tar} or \code{mtar};
     the default is \code{tar}.}
  \item{lag}{ number of lags for the threshold cointegration regression.}
  \item{thresh}{ a threshold value (default of zero).}
  \item{small.win}{ value of a small window for fitting the threshold
        cointegration regression, e.g., \code{small.win = c(2010, 5)}.}
  \item{\dots}{ additional arguments to be passed.}
}

\details{
This is the main function for threshold autoregression regression (TAR) in
assessing the nonlinear threshold relation between two time series
variables. It can be used to estimate four types of threshold
cointegration regressions. These four types are TAR with a threshold value
of zero; consistent TAR with a nonzero threshold; MTAR (momentum TAR) with
a threshold value of zero; and consistent MTAR with a nonzero threshold.
The option of small window is used in model selection because a comparison
of AIC and BIC values should be based on the same number of regression
observations.
}

\value{
Return a list object of class \code{"ciTarFit"} with these components:
  \item{y}{ dependend variable}
  \item{x}{ independent variable}
  \item{model}{ model choice}
  \item{lag}{ number of lags}
  \item{thresh}{ threshold value}
  \item{data.LR}{ data used in the long-run regression}
  \item{data.CI}{ data used in the threshold cointegration regression}
  \item{z}{ residuals from the long-run regression}
  \item{lz}{ lagged residuals from the long-run regression}
  \item{ldz}{ lagged residuals with 1st difference from long-run model}
  \item{LR}{ long-run regression}
  \item{CI}{ threshold cointegration regression}
  \item{f.phi}{ test with a null hypothesis of no threshold cointegration}
  \item{f.apt}{ test with a null hypothesis of no asymmetric price
        transmission in the long run}
  \item{sse}{ value of sum of squared errors}
  \item{aic}{ value of Akaike Information Criterion}
  \item{bic}{ value of Bayesian Information Criterion.}
}

\section{Methods}{
  One method is defined as follows:
  \describe{
    \item{\code{print}:}{
       Four main outputs from threshold cointegration regression are shown:
       long-run regression between the two price variables, threshold
       cointegration regression, hypothesis test of no cointegration,
       and hypothesis test of no asymmetric adjustment.
    }
  }
}

\references{
Balke, N.S., and T. Fomby. 1997. Threshold cointegration. International 
  Economic Review 38(3):627-645.  
Enders, W., and C.W.J. Granger. 1998. Unit-root tests and asymmetric 
  adjustment with an example using the term structure of interest rates.
  Journal of Business & Economic Statistics 16(3):304-311. 
Enders, W., and P.L. Siklos. 2001. Cointegration and threshold 
  adjustment. Journal of Business and Economic Statistics 19(2):166-176.
}

\author{Changyou Sun (\email{cs258@msstate.edu})}  
\seealso{
  \code{\link{summary.ciTarFit}} for a summary method;
  \code{\link{ciTarLag}} for lag selection; and
  \code{\link{ciTarThd}} for threshold selection.
}
\examples{# see example at daVich
}
\keyword{regression}