as.mcmc.mtar: Coercion of 'mtar' objects to 'mcmc' objects

In mtarm: Bayesian Estimation of Multivariate Threshold Autoregressive Models

Coercion of mtar objects to mcmc objects

Description

This method converts an object of class mtar into a list of mcmc objects, each corresponding to a Markov chain produced during Bayesian estimation.

Usage

## S3 method for class 'mtar'
as.mcmc(x, ...)

Arguments

x	an object of class mtar obtained from a call to mtar().
...	additional arguments passed to specific coercion methods.

Value

A list of mcmc objects containing the posterior simulation draws generated by the mtar() routine.

See Also

as.mcmc

Examples

###### Example 1: Returns of the closing prices of three financial indexes
data(returns)
fit1 <- mtar(~ COLCAP + BOVESPA | SP500, data=returns, row.names=Date,
             subset={Date<="2015-12-07"}, dist="Student-t",
             ars=ars(nregim=3,p=c(1,1,2)), n.burnin=1000, n.sim=2000,
             n.thin=2, ssvs=TRUE)
fit1.mcmc <- coda::as.mcmc(fit1)
summary(fit1.mcmc)
#plot(fit1.mcmc)

###### Example 2: Rainfall and two river flows in Colombia
data(riverflows)
fit2 <- mtar(~ Bedon + LaPlata | Rainfall, data=riverflows, row.names=Date,
             subset={Date<="2009-02-13"}, dist="Laplace",
             ars=ars(nregim=3,p=5), n.burnin=1000, n.sim=2000, n.thin=2)
fit2.mcmc <- coda::as.mcmc(fit2)
summary(fit2.mcmc)
#plot(fit2.mcmc)

###### Example 3: Temperature, precipitation, and two river flows in Iceland
data(iceland.rf)
fit3 <- mtar(~ Jokulsa + Vatnsdalsa | Temperature | Precipitation,
             data=iceland.rf, subset={Date<="1974-11-06"}, row.names=Date,
             ars=ars(nregim=2,p=15,q=4,d=2), n.burnin=1000, n.sim=2000,
             n.thin=2, dist="Slash")
fit3.mcmc <- coda::as.mcmc(fit3)
summary(fit3.mcmc)
#plot(fit3.mcmc)

###### Example 4: U.S. stock returns
data(US.returns)
fit4 <- mtar(~ CCR | dVIX, data=US.returns, subset={Date<="2025-11-28"},
             row.names=Date, ars=ars(nregim=2,p=3,d=3), n.burnin=1000,
             n.sim=2000, n.thin=2, dist="Student-t")
fit4.mcmc <- coda::as.mcmc(fit4)
summary(fit4.mcmc)
#plot(fit4.mcmc)

mtarm documentation built on June 12, 2026, 5:07 p.m.