Description Usage Arguments Value Examples
General estimation of TAR models with known threshold values. It perform LS estimation of a univariate TAR model, and can handle multiple regimes.
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y |
time series. |
arorder |
AR order of each regime. The number of regime is the length of arorder. |
thr |
given threshould(s). There are k-1 threshold for a k-regime model. |
d |
delay for threshold variable, default is 1. |
thrV |
external threhold variable if any. If it is not NULL, thrV must have the same length as that of y. |
include.mean |
a logical value indicating whether constant terms are included. Default is TRUE. |
output |
a logical value for output. Default is TRUE. |
uTAR.est returns a list with components:
data |
the data matrix, y. |
k |
the dimension of y. |
arorder |
AR orders of regimes 1 and 2. |
coefs |
a (p*k+1)-by-(2k) matrices. The first row show the estimation results in regime 1, and the second row shows these in regime 2. |
sigma |
estimated innovational covariance matrices of regimes 1 and 2. |
thr |
threshold value. |
residuals |
estimated innovations. |
sresi |
standardized residuals. |
nobs |
numbers of observations in different regimes. |
delay |
delay for threshold variable. |
cnst |
logical values indicating whether the constant terms are included in different regimes. |
AIC |
AIC value. |
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