tsDyn: Nonlinear Time Series Models with Regime Switching

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).

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
http://github.com/MatthieuStigler/tsDyn/wiki

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

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