tseriesTARMA: tseriesTARMA: Analysis of Nonlinear Time Series through...

In tseriesTARMA: Analysis of Nonlinear Time Series Through Threshold Autoregressive Moving Average Models (TARMA) Models

tseriesTARMA: Analysis of Nonlinear Time Series through Threshold Autoregressive Moving Average Models (TARMA) models

Description

It provides advanced functions for:

• TARMA model fitting and forecasting:

  • Least Squares fitting of a full subset TARMA model, including robust LS fitting.

  • Maximum Likelihood fitting of a subset TARMA model with common MA parts and possible covariates.

• TARMA testing for threshold type nonlinearity:

  • Tests for AR vs TAR (asymptotic, bootstrap, wild bootstrap)

  • Tests for ARMA vs TARMA with both i.i.d. errors and GARCH errors.

• Unit-root testing against a stationary TARMA model

Author(s)

Simone Giannerini, [e-mail]

Greta Goracci, [e-mail]

References

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tseriesTARMA documentation built on Oct. 8, 2024, 5:11 p.m.