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

Functions

aar Man page
AAR Man page
accuracy_stat Man page
accuracy_stat.default Man page
accuracy_stat.pred_roll Man page
addRegime Man page
AIC.nlar Man page
as.data.frame.llar Man page
autopairs Man page
autotriples Man page
autotriples.rgl Man page
availableModels Man page
barry Man page
BBCTest Man page
coefA Man page
coefA.ca.jo Man page
coefA.VECM Man page
coefB Man page
coefB.ca.jo Man page
coefB.VECM Man page
coef.nlar Man page
coefPI Man page
computeGradient Man page
d2sigmoid Man page
delta Man page
delta.lin Man page
delta.lin.test Man page
delta.test Man page
dsigmoid Man page
extendBoot Man page
fevd Man page
fevd.nlVar Man page
fitted Man page
fitted.nlar Man page
fitted.nlVar Man page
getTh Man page
getTh.default Man page
getXX Man page
getXXYY Man page
getYY Man page
IIPUs Man page
irf Man page
irf.nlVar Man page
isLinear Man page
KapShinTest Man page
KapShinTest Man page
lags.select Man page
linear Man page
LINEAR Man page
lineVar Man page
llar Man page
llar.fitted Man page
llar.predict Man page
logLik.nlVar Man page
logLik.VECM Man page
lstar Man page
LSTAR Man page
makeThSpec Man page
MakeThSpec Man page
MAPE Man page
MAPE.default Man page
MAPE.nlar Man page
mse Man page
mse.default Man page
mse.nlar Man page
nlar Man page
nlar-methods Man page
nlar.struct Man page
nlar.struct-methods Man page
NNET Man page
nnetTs Man page
OlsTVAR Man page
oneStep Man page
plot.aar Man page
plot.llar Man page
plot.lstar Man page
plot-methods Man page
plot.nlar Man page
plot.setar Man page
predict Man page
predict.nlar Man page
predict_rolling Man page
predict_rolling.nlVar Man page
predict.VAR Man page
predict.VECM Man page
print.aar Man page
print.linear Man page
print.llar Man page
print.nlar Man page
print.rank.select Man page
print.rank.test Man page
print.summary.linear Man page
print.varirf Man page
rank.select Man page
rank.test Man page
regime Man page
regime.default Man page
residuals.nlar Man page
resVar Man page
selectLSTAR Man page
selectNNET Man page
selectsetar Man page
selectSetar Man page
selectSETAR Man page
setar Man page
SETAR Man page
setar.sim Man page
setartest Man page
setarTest Man page
sigmoid Man page
star Man page
STAR Man page
summary.aar Man page
summary.linear Man page
summary.nlar Man page
summary.rank.select Man page
summary.rank.test Man page
summary.setar Man page
toLatex.nlar Man page
toLatex.setar Man page
tsDyn Man page
tsDyn-package Man page
TVAR Man page
TVAR.boot Man page
TVAR.LRtest Man page
TVAR.sim Man page
TVECM Man page
TVECM.boot Man page
TVECM.HStest Man page
TVECM.SeoTest Man page
TVECM.sim Man page
UsUnemp Man page
VAR.boot Man page
VARrep Man page
VARrep.VAR Man page
VARrep.VECM Man page
VAR.sim Man page
VECM Man page
VECM.boot Man page
VECM.sim Man page
VECM_symbolic Man page
zeroyld Man page

Files

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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