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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