tsDyn: Nonlinear Time Series Models with Regime Switching

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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).

Author
Antonio Fabio Di Narzo [aut], Jose Luis Aznarte [ctb], Matthieu Stigler [aut, cre]
Date of publication
2016-05-22 22:56:44
Maintainer
Matthieu Stigler <Matthieu.Stigler@gmail.com>
License
GPL (>= 2)
Version
0.9-44
URLs

View on CRAN

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

Files in this package

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