Description Usage Arguments Value Examples
Refine a fitted 2-regime multivariate TAR model using "thres" as threshold for t-ratios.
1 | ref.mTAR(m1, thres = 1)
|
m1 |
a fitted mTAR object. |
thres |
threshold value. |
ref.mTAR returns a list with following components:
data |
data matrix, |
arorder |
AR orders of regimes 1 and 2. |
sigma |
estimated innovational covariance matrices of regimes 1 and 2. |
beta |
a ( |
residuals |
estimated innovations. |
sresi |
standard residuals. |
criteria |
overall information criteria. |
1 2 3 4 5 6 7 8 9 10 |
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