star: STAR model

In tsDyn: Nonlinear Time Series Models with Regime Switching

STAR model

Description

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

Usage

star(x, m=2, noRegimes, d = 1, steps = d, series, rob = FALSE,
                 mTh, thDelay, thVar, sig=0.05, trace=TRUE, control=list(), ...)

Arguments

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 control list to optim
trace	should additional infos be printed out?
...	currently unused

Details

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 autoregressive models", J. Am. Stat. Assoc. 89 (1994): 208-218.

Value

star returns an object of class nlar, subclass star, i.e. a list with informations about the fitted model.

Author(s)

J. L. Aznarte M.

See Also

addRegime

Examples

mod.star <- star(log10(lynx), mTh=c(0,1), control=list(maxit=3000))
mod.star

addRegime(mod.star)

tsDyn documentation built on Oct. 31, 2024, 5:08 p.m.