tsDyn (Q24284): Difference between revisions
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Removed claim: depends on software (P342): Item:Q13519 |
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software version identifier: ≥ 3.5.0 | |||||||||||||||
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| Property / Software Heritage ID: swh:1:snp:8da1fc89e5ea91b38446d6aa77b5deeb0cdb98f8 / rank | |||||||||||||||
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| Property / Software Heritage ID: swh:1:snp:8da1fc89e5ea91b38446d6aa77b5deeb0cdb98f8 / qualifier | |||||||||||||||
| Property / Software Heritage ID: swh:1:snp:8da1fc89e5ea91b38446d6aa77b5deeb0cdb98f8 / qualifier | |||||||||||||||
point in time: 11 February 2024
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Latest revision as of 16:06, 21 March 2024
Nonlinear Time Series Models with Regime Switching
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | tsDyn |
Nonlinear Time Series Models with Regime Switching |
Statements
1 February 2024
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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 three regimes. Tests can be conducted for TVAR as well as for TVECM (Hansen and Seo 2002 and Seo 2006).
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expanded from: GPL (≥ 2) (English)
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Identifiers
11 February 2024
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