Implements nonlinear autoregressive (AR) time series
models. For univariate series, a non-parametric approach is
available through additive nonlinear AR. Parametric modeling
and testing for regime switching dynamics is available when the
transition is either direct (TAR: threshold AR) or smooth
(STAR: smooth transition AR, LSTAR). For multivariate series,
one can estimate a range of TVAR or threshold cointegration
TVECM models with two or two regimes. Tests can be conducted
for TVAR as well as for TVECM (Hansen and Seo 2002 and Seo
2006).
| Version: |
0.7-62 |
| Depends: |
mgcv, Matrix, snow, mnormt, foreach, MASS, nlme |
| Imports: |
nnet, tseriesChaos, tseries, utils |
| Suggests: |
tcltk, sm, scatterplot3d, rgl, vars, FinTS |
| Published: |
2011-12-19 |
| Author: |
Antonio Fabio Di Narzo, Jose Luis Aznarte, Matthieu Stigler |
| Maintainer: |
Matthieu Stigler <Matthieu.Stigler at gmail.com> |
| License: |
GPL (≥ 2) |
| URL: |
http://tsdyn.googlecode.com |
| Citation: |
tsDyn citation info |
| In views: |
Econometrics, Finance, TimeSeries |
| CRAN checks: |
tsDyn results |