Description Usage Arguments Details Value Author(s) See Also Examples

STAR model fitting with automatic selection of the number of regimes based on LM tests.

1 2 |

`x` |
time series |

`m, d, steps` |
embedding dimension, time delay, forecasting steps |

`noRegimes` |
max number of regimes |

`series` |
time series name (optional) |

`rob` |
perform robust test (not implemented) |

`thDelay` |
'time delay' for the threshold variable (as multiple of embedding time delay d) |

`mTh` |
coefficients for the lagged time series, to obtain the threshold variable |

`thVar` |
external threshold variable |

`sig` |
significance level for the tests to select the number of regimes. |

`control` |
further arguments to be passed as |

`trace` |
should additional infos be printed out? |

`...` |
currently unused |

The function star implements the iterative building strategy described in [1] to identify and estimate Smooth Transition AutoRegressive models.

[1] T. Terasvirta, "Specification, estimation and evaluation of smooth transition autoregresive models", J. Am. Stat. Assoc. 89 (1994): 208-218.

`star`

returns an object of class `nlar`

, subclass
`star`

, i.e. a list with informations about the fitted model.

J. L. Aznarte M.

1 2 3 4 |

```
Testing linearity... p-Value = 0.0001831653
The series is nonlinear. Incremental building procedure:
Building a 2 regime STAR.
Performing grid search for starting values...
Starting values fixed: gamma = 11.15385 , th = 3.337486 ; SSE = 4.337664
Optimization algorithm converged
Optimized values fixed for regime 2 : gamma = 11.15383 , th = 3.339199 ; SSE = 4.337643
Testing for addition of regime 3.
Estimating gradient matrix...
Done. Computing the test statistic...
Done. Regime 3 is NOT accepted (p-Value = 0.9843362 ).
Finished building a MRSTAR with 2 regimes
Non linear autoregressive model
Multiple regime STAR model
Regime 1 :
Linear parameters: 0.4891014, 1.2465399, -0.3664328
Regime 2 :
Linear parameters: -1.0240758, 0.4232669, -0.2546088
Non-linear parameters:
11.1538344, 3.3391985
Non linear autoregressive model
Multiple regime STAR model
Regime 1 :
Linear parameters: 0.4891014, 1.2465399, -0.3664328
Regime 2 :
Linear parameters: -1.0240758, 0.4232669, -0.2546088
Non-linear parameters:
11.1538344, 3.3391985
Regime 3 :
Linear parameters: -0.5808191, -0.1599709, -2.9181273
Non-linear parameters:
0, 0
```

tsDyn documentation built on May 29, 2017, 10:48 a.m.

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.