Nonlinear Time Series Models with Regime Switching

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 |

m.unrate | Monthly US unemployment |

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", "VECM" or "TVAR" |

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.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 a VECM or bivariate TVECM |

VAR.boot | Simulate or bootstrap a VAR model |

VARrep | VAR representation |

VECM | Estimation of Vector error correction model (VECM) |

VECM_symbolic | Virtua VECM model |

zeroyld | zeroyld time series |

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