Description Usage Arguments Value References Examples
Estimation of a univariate two-regime SETAR model, including threshold value. The procedure of Li and Tong (2016) is used to search for the threshold.
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y |
a vector of time series. |
p1, p2 |
AR-orders of regime 1 and regime 2. |
d |
delay for threshold variable, default is 1. |
thrV |
threshold variable. If thrV is not null, it must have the same length as that of y. |
Trim |
lower and upper quantiles for possible threshold values. |
k0 |
the maximum number of threshold values to be evaluated. If the sample size is large (> 3000), then k0 = floor(nT*0.5).The default is k0=300. But k0 = floor(nT*0.8) if nT < 300. |
include.mean |
a logical value indicating whether constant terms are included. |
thrQ |
lower and upper quantiles to search for threshold value. |
uTAR returns a list with components:
data |
the data matrix, y. |
arorder |
AR orders of regimes 1 and 2. |
delay |
the delay for threshold variable. |
residuals |
estimated innovations. |
coef |
a 2-by-(p+1) 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. |
nobs |
numbers of observations in regimes 1 and 2. |
model1,model2 |
estimated models of regimes 1 and 2. |
thr |
threshold value. |
D |
a set of threshold values. |
RSS |
RSS |
AIC |
AIC value |
cnst |
logical values indicating whether the constant terms are included in regimes 1 and 2. |
sresi |
standardized residuals. |
Li, D., and Tong. H. (2016) Nested sub-sample search algorithm for estimation of threshold models. Statisitca Sinica, 1543-1554.
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