tsDyn: Nonlinear Time Series Models with Regime Switching
Version 0.9-44

Implements nonlinear autoregressive (AR) time series models. For univariate series, a non-parametric approach is available through additive nonlinear AR. Parametric modeling and testing for regime switching dynamics is available when the transition is either direct (TAR: threshold AR) or smooth (STAR: smooth transition AR, LSTAR). For multivariate series, one can estimate a range of TVAR or threshold cointegration TVECM models with two or three regimes. Tests can be conducted for TVAR as well as for TVECM (Hansen and Seo 2002 and Seo 2006).

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AuthorAntonio Fabio Di Narzo [aut], Jose Luis Aznarte [ctb], Matthieu Stigler [aut, cre]
Date of publication2016-05-22 22:56:44
MaintainerMatthieu Stigler <Matthieu.Stigler@gmail.com>
LicenseGPL (>= 2)
Version0.9-44
URL http://github.com/MatthieuStigler/tsDyn/wiki
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("tsDyn")

Man pages

aar: Additive nonlinear autoregressive model
accuracy_stat: Forecasting accuracy measures.
addRegime: addRegime test
autopairs: Bivariate time series plots
autotriples: Trivariate time series plots
autotriples.rgl: Interactive trivariate time series plots
availableModels: Available models
barry: Time series of PPI used as example in Bierens and Martins...
BBCTest: Test of unit root against SETAR alternative
coefB: Extract cointegration parameters A, B and PI
computeGradient: computeGradient
DataIIPUs: US monthly industrial production from Hansen (1999)
DataUsUnemp: US unemployment series used in Caner and Hansen (2001)
delta: delta test of conditional independence
delta.lin: delta test of linearity
extendBoot: extension of the bootstrap replications
fevd: Forecast Error Variance Decomposition
fitted.nlVar: fitted method for objects of class nlVar, i.e. VAR and VECM...
getTh: Extract threshold(s) coefficient
irf: Impulse response function
isLinear: isLinear
KapShinTest: Test of unit root against SETAR alternative with
lags.select: Selection of the lag with Information criterion.
linear: Linear AutoRegressive models
lineVar: Multivariate linear models: VAR and VECM
llar: Locally linear model
logLik.nlVar: Extract Log-Likelihood
logLik.VECM: Extract Log-Likelihood
lstar: Logistic Smooth Transition AutoRegressive model
MakeThSpec: Specification of the threshold search
MAPE: Mean Absolute Percent Error
mse: Mean Square Error
nlar: Non-linear time series model, base class definition
nlar-methods: nlar methods
nlar.struct: NLAR common structure
nnet: Neural Network nonlinear autoregressive model
oneStep: oneStep
plot-methods: Plotting methods for SETAR and LSTAR subclasses
predict.nlar: Predict method for objects of class "nlar".
predict_rolling: Rolling forecasts
predict.VAR: Predict method for objects of class "VAR" or "VECM"
rank.select: Selection of the cointegrating rank with Information...
rank.test: Test of the cointegrating rank
regime: Extract variable showing regime
resVar: Residual variance
selectHyperParms: Automatic selection of model hyper-parameters
selectSETAR: Automatic selection of SETAR hyper-parameters
setar: Self Threshold Autoregressive model
setar.sim: Simulation and bootstrap of Threshold Autoregressive model
setarTest: Test of linearity
sigmoid: sigmoid functions
star: STAR model
toLatex.setar: Latex representation of fitted setar models
tsDyn-package: Getting started with the tsDyn package
TVAR: Multivariate Threshold Autoregressive model
TVAR.boot: Bootstrap a multivariate Threshold Autoregressive (TVAR)...
TVAR.LRtest: Test of linearity
TVAR.sim: Simulation of a multivariate Threshold Autoregressive model...
TVECM: Threshold Vector Error Correction model (VECM)
TVECM.HStest: Test of linear cointegration vs threshold cointegration
TVECM.SeoTest: No cointegration vs threshold cointegration test
TVECM.sim: Simulation and bootstrap of bivariate VECM/TVECM
VAR.boot: Bootstrap a Vector Autoregressive (VAR) model
VARrep: VAR representation
VECM: Estimation of Vector error correction model (VECM)
VECM_symbolic: Virtua VECM model
zeroyld: zeroyld time series

Functions

AAR Man page
AIC.VECM Source code
AIC.matrices Source code
AIC.nlVar Source code
AIC.nlar Man page Source code
AIC_1thresh Source code
AIC_2th Source code
AIC_2threshCommon Source code
AIC_2threshNoCommon Source code
BBCTest Man page Source code
BIC.VECM Source code
BIC.nlVar Source code
BIC.nlar Source code
G Source code
HanSeo_TVECM Source code
IIPUs Man page
KapShinTest Man page Man page Source code
LINEAR Man page
LSTAR Man page
LagTeX Source code
MAPE Man page Source code
MAPE.default Man page Source code
MAPE.nlar Man page Source code
MakeThSpec Man page Source code
MyEnv Source code
NNET Man page
OlsTVAR Man page
PercInRegime Source code
SETAR Man page
SSR_1thresh Source code
SSR_2th Source code
SSR_2threshCommon Source code
SSR_2threshNoCommon Source code
STAR Man page
TAR1t_B Source code
TAR2t_B Source code
TVAR Man page Source code
TVAR.LRtest Man page Source code
TVAR.boot Man page Source code
TVAR.gen Source code
TVAR.sim Man page Source code
TVAR_thresh Source code
TVECM Man page Source code
TVECM.HStest Source code
TVECM.HStest Man page
TVECM.SeoTest Man page Source code
TVECM.boot Man page Source code
TVECM.sim Man page Source code
TeXMat Source code
TeXVec Source code
UsUnemp Man page
VAR.boot Man page Source code
VAR.boot2 Source code
VAR.gen Source code
VAR.sim Man page Source code
VAR.sim2 Source code
VARrep Man page Source code
VARrep.VAR Man page Source code
VARrep.VECM Man page Source code
VECM Man page Source code
VECM.boot Man page Source code
VECM.sim Man page Source code
VECM_symbolic Man page Source code
aar Man page Source code
accuracy_stat Man page Source code
accuracy_stat.default Man page Source code
accuracy_stat.pred_roll Man page Source code
accuracy_stat_simple Source code
acf.custom Source code
add Source code
addRegime Man page Source code
addRegime.star Source code
aroundGrid Source code
as.data.frame.llar Man page Source code
as.matrix.ts Source code
asListIfMat Source code
autopairs Man page Source code
autotriples Man page Source code
autotriples.rgl Man page Source code
availableModels Man page Source code
barry Man page
build Source code
buildConstants Source code
buildXth1Common Source code
buildXth1LagsCommon Source code
buildXth1LagsIncCommon Source code
buildXth1NoCommon Source code
buildXth2Common Source code
buildXth2LagsCommon Source code
buildXth2LagsIncCommon Source code
buildXth2NoCommon Source code
calculateLinearCoefficients Source code
check.TVECM.boot Source code
check.VECM.boot Source code
coef.lstar Source code
coef.nlVar Source code
coef.nlar Man page Source code
coef.setar Source code
coefA Man page Source code
coefA.VECM Man page Source code
coefA.ca.jo Man page Source code
coefA.cajo.test Source code
coefA.list Source code
coefB Man page Source code
coefB.VECM Man page Source code
coefB.ca.jo Man page Source code
coefB.cajo.test Source code
coefB.list Source code
coefMat Source code
coefMat.default Source code
coefMat.nlVar Source code
coefPI Man page Source code
coefPI.ca.jo Source code
coefPI.cajo.test Source code
coefPI.default Source code
computeGradient Man page Source code
computeGradient.star Source code
condiStep Source code
confint.lstar Source code
ct Source code
d2sigmoid Man page
delta Man page Source code
delta.lin Man page Source code
delta.lin.test Man page Source code
delta.test Man page Source code
deviance.nlVar Source code
deviance.nlar Source code
dsigmoid Man page Source code
eqNames Source code
eqNames.nlVar Source code
estimateParams Source code
estimateParams.star Source code
extend Source code
extend.MyEnv Source code
extend.list Source code
extendBoot Man page Source code
fevd Man page
fevd.nlVar Man page Source code
fitted Man page
fitted.nlVar Man page Source code
fitted.nlar Man page Source code
formatSignedNum Source code
gamma_doornik Source code
gamma_doornik_all Source code
getArNames Source code
getIncNames Source code
getNUsed Source code
getNUsed.nlar Source code
getNUsed.nlar.struct Source code
getP Source code
getP.ca.jo Source code
getP.cajo.test Source code
getSSR Source code
getSetarXRegimeCoefs Source code
getTh Man page Source code
getTh.default Man page Source code
getTh.lstar Source code Source code
getTh.nlVar Source code
getTh.setar Source code
getTh.summary.setar Source code
getXX Man page Source code
getXXYY Man page Source code
getXXYY.nlar.struct Source code
getYY Man page Source code
getdX1 Source code
getdXX Source code
getdXXYY Source code
getdXXYY.nlar.struct Source code
getdYY Source code
getndp Source code
grid Source code
grid2 Source code
include Source code
irf Man page
irf.nlVar Man page Source code
is.InUnitCircle Source code
isLinear Man page Source code
isLinear.default Source code
isLinear.lstar Source code
isRoot Source code
lags.select Man page Source code
latex Source code
lineVar Man page Source code
linear Man page Source code
linearityTest.star Source code
llar Man page Source code
llar.fitted Man page Source code
llar.predict Man page Source code
llar.step Source code
logLik.VECM Man page Source code
logLik.ca.jo Source code
logLik.cajo.test Source code
logLik.nlVar Man page Source code
lstar Man page Source code
makeTh Source code
makeThSpec Man page
mse Man page Source code
mse.default Man page Source code
mse.nlar Man page Source code
mutual.custom Source code
myHead Source code
myInsertCol Source code
myTail Source code
myformat Source code
nameB Source code
nlar Man page Source code
nlar-methods Man page
nlar.struct Man page Source code
nlar.struct-methods Man page
nnetTs Man page Source code
norma Source code
npar Source code
npar.VECM Source code
npar.default Source code
npar.nlVar Source code
npar.nlar Source code
numerize Source code
onLoad Source code
oneStep Man page Source code
oneStep.aar Source code
oneStep.linear Source code
oneStep.lstar Source code
oneStep.nnetTs Source code
oneStep.setar Source code
oneStep.star Source code
onesearch Source code
pacf.custom Source code
percent Source code
plot-methods Man page
plot.Hansen99Test Source code
plot.TVAR Source code
plot.TVECMHanSeo02Test Source code
plot.TVECMSeo06Test Source code
plot.aar Man page Source code
plot.llar Man page Source code
plot.lstar Man page Source code
plot.nlar Man page Source code
plot.selectSETAR Source code
plot.setar Man page Source code
plot1 Source code
plot2 Source code
plot3 Source code
predict Man page
predict.TVAR Source code
predict.TVECM Source code
predict.VAR Man page Source code
predict.VECM Man page
predict.VECMMiddleold Source code
predict.nlar Man page Source code
predict2.VAR Source code
predict2.VECM Source code
predict3.VECM Source code
predictOld.VAR Source code
predictOld.VECM Source code
predict_rolling Man page Source code
predict_rolling.Arima Source code
predict_rolling.default Source code
predict_rolling.ets Source code
predict_rolling.nlVar Man page Source code
predict_rolling.nlar Source code
predict_rolling_1step.nlVar Source code
predict_rolling_fcstpkg Source code
print.BBC2004Test Source code
print.Hansen99Test Source code
print.KapShin2006Test Source code
print.TVAR Source code
print.TVARtest Source code
print.TVECM Source code
print.TVECMHanSeo02Test Source code
print.TVECMSeo06Test Source code
print.VAR Source code
print.aar Man page Source code
print.linear Man page Source code
print.llar Man page Source code
print.lstar Source code
print.nlVar Source code
print.nlar Man page Source code
print.nnetTs Source code
print.rank.select Man page Source code
print.rank.test Man page Source code
print.selectSETAR Source code
print.setar Source code
print.star Source code
print.summary.TVAR Source code
print.summary.TVECM Source code
print.summary.VAR Source code
print.summary.aar Source code
print.summary.linear Man page Source code
print.summary.lstar Source code
print.summary.nlar Source code
print.summary.setar Source code
print.varirf Man page
rank.select Man page Source code
rank.test Man page Source code
regime Man page Source code
regime.default Man page Source code
regime.lstar Source code
regime.nlVar Source code
regime.setar Source code
repmat Source code
resVar Man page Source code
resVar.nlVar Source code
residuals.nlVar Source code
residuals.nlar Man page Source code
sample.block Source code
selectLSTAR Man page Source code
selectNNET Man page Source code
selectSETAR Man page Source code
selectSetar Man page
selectsetar Man page
setar Man page Source code
setar.sim Man page Source code
setarTest Man page Source code
setartest Man page
sigmoid Man page Source code
simplify2df Source code Source code
star Man page Source code
star.predefined Source code
startingValues Source code
startingValues.star Source code
summary.Hansen99Test Source code
summary.TVAR Source code
summary.TVARtest Source code
summary.TVECM Source code
summary.TVECMHanSeo02Test Source code
summary.TVECMSeo06Test Source code
summary.VAR Source code
summary.aar Man page Source code
summary.linear Man page Source code
summary.lstar Source code
summary.nlar Man page Source code
summary.rank.select Man page Source code
summary.rank.test Man page Source code
summary.setar Man page Source code
testRegime Source code
testRegime.star Source code
toLatex.TVAR Source code
toLatex.TVECM Source code
toLatex.VAR Source code
toLatex.nlar Man page Source code
toLatex.setar Man page Source code
toMlm Source code
toMlm.default Source code
toMlm.nlVar Source code
tsDyn Man page
tsDyn-package Man page
vcov.TVAR Source code
vcov.VAR Source code
vcov.lstar Source code
vcov.setar Source code
vec2var.tsDyn Source code
zeroyld Man page

Files

COPYING
inst
inst/CITATION
inst/tsDyn-design.Stex
inst/ChangeLog
inst/doc
inst/doc/tsDyn.R
inst/doc/ThCointOverview.R
inst/doc/tsDyn.Stex
inst/doc/ThCointOverview.pdf
inst/doc/ThCointOverview.Rnw
inst/doc/tsDyn.pdf
tests
tests/compare_tsDyn_vars.R
tests/nlar-methods.R
tests/compare_tsDyn_vars.Rout.save
tests/TVECM_HSTEST.Rout.save
tests/VECM.Rout.save
tests/regime.R
tests/toMlm.R
tests/VAR.R
tests/VECM.R
tests/lstar.R
tests/nlar-methods.Rout.save
tests/VAR.Rout.save
tests/TVECM_HSTEST.R
tests/TVECM.sim.Rout.save
tests/toMlm.Rout.save
tests/00SetarAndFriends.R
tests/lstar.Rout.save_bkp
tests/00SetarAndFriends.Rout.save
tests/regime.Rout.save
tests/TVECM.sim.R
src
src/llar.c
src/tseriesChaos.h
src/misc.c
src/search.c
NAMESPACE
data
data/barry.rda
data/IIPUs.rda
data/UsUnemp.rda
data/zeroyld.rda
R
R/TVECM.HStest.R
R/miscSETAR.R
R/predict_rolling.R
R/nlar-methods.R
R/autotriples.rgl.R
R/TVECM.R
R/TVECMSeoTest.R
R/resVar.R
R/nnet.R
R/delta.R
R/coefECT.R
R/llar.R
R/BBCtest.R
R/star.R
R/vcov.R
R/predict.R
R/TVAR_LRtest.R
R/predict.VAR.R
R/aar.R
R/selectSETAR.R
R/isLinear.R
R/deprecated_guiSystem.R
R/rank.select.R
R/vec2var.tsDyn.R
R/setarTest.R
R/lstar.R
R/KapShinTest.R
R/setar.sim.R
R/nlVar-methods.R
R/TVAR.sim.R
R/acf.custom.R
R/linear.R
R/autotriples.R
R/autopairs.R
R/VAR.sim.R
R/deprecated_tsDynGUI.R
R/rank.test.R
R/TVARestim.R
R/lineVar.R
R/misc.R
R/selectLSTAR.R
R/accuracy.R
R/zzz.R
R/setar.R
R/VECM_symbolic.R
R/TVECM.sim.R
vignettes
vignettes/SweaveCustom.sty
vignettes/econometrica.bst
vignettes/bib.bib
vignettes/tsDyn.Stex
vignettes/ThCointOverviewGridSearchTVECM.pdf
vignettes/GeneralBiblio.bib
vignettes/ThCointOverview.Rnw
vignettes/ClusterTime.pdf
vignettes/amsplain.bst
MD5
build
build/vignette.rds
DESCRIPTION
man
man/TVECM.sim.Rd
man/rank.test.Rd
man/predict.VAR.Rd
man/VECM_symbolic.Rd
man/lineVar.Rd
man/sigmoid.Rd
man/TVAR.Rd
man/zeroyld.Rd
man/plot-methods.Rd
man/coefB.Rd
man/TVAR.LRtest.Rd
man/nlar.struct.Rd
man/autotriples.rgl.Rd
man/DataIIPUs.Rd
man/extendBoot.Rd
man/accuracy_stat.Rd
man/resVar.Rd
man/toLatex.setar.Rd
man/isLinear.Rd
man/getTh.Rd
man/aar.Rd
man/setar.sim.Rd
man/lstar.Rd
man/fitted.nlVar.Rd
man/irf.Rd
man/KapShinTest.Rd
man/TVECM.SeoTest.Rd
man/predict.nlar.Rd
man/setar.Rd
man/oneStep.Rd
man/rank.select.Rd
man/MAPE.Rd
man/logLik.VECM.Rd
man/regime.Rd
man/MakeThSpec.Rd
man/VECM.Rd
man/availableModels.Rd
man/TVAR.boot.Rd
man/linear.Rd
man/selectHyperParms.Rd
man/autopairs.Rd
man/lags.select.Rd
man/barry.Rd
man/computeGradient.Rd
man/tsDyn-package.Rd
man/logLik.nlVar.Rd
man/autotriples.Rd
man/star.Rd
man/nlar.Rd
man/llar.Rd
man/DataUsUnemp.Rd
man/setarTest.Rd
man/mse.Rd
man/BBCTest.Rd
man/TVECM.HStest.Rd
man/VAR.boot.Rd
man/TVECM.Rd
man/selectSETAR.Rd
man/delta.Rd
man/TVAR.sim.Rd
man/predict_rolling.Rd
man/fevd.Rd
man/delta.lin.Rd
man/nnet.Rd
man/addRegime.Rd
man/nlar-methods.Rd
man/VARrep.Rd
tsDyn documentation built on May 19, 2017, 7:51 a.m.