STAR model fitting with automatic selection of the number of regimes based on LM tests.
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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.
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Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.
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