tsDyn (Q24284): Difference between revisions

← Older edit

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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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+Software:24284

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

instance of

R package

0 references

software version identifier

11.0.4

publication date

26 January 2023

0 references

0.5-2

publication date

19 July 2006

0 references

0.5-3

publication date

24 July 2006

0 references

0.5-4

publication date

21 September 2006

0 references

0.5-5

publication date

23 March 2007

0 references

0.5-6

publication date

16 May 2007

0 references

0.5-7

publication date

9 October 2007

0 references

0.6-0

publication date

3 February 2008

0 references

0.6-1

publication date

24 February 2009

0 references

0.7-1

publication date

5 September 2009

0 references

0.7-2

publication date

21 February 2010

0 references

0.7-22

publication date

23 February 2010

0 references

0.7-23

publication date

4 April 2010

0 references

0.7-30

publication date

2 July 2010

0 references

0.7-40

publication date

11 August 2010

0 references

0.7-52

publication date

9 May 2011

0 references

0.7-60

publication date

15 May 2011

0 references

0.7-62

publication date

19 December 2011

0 references

0.7

publication date

18 July 2009

0 references

0.8-1

publication date

16 February 2012

0 references

0.9-0

publication date

29 October 2012

0 references

0.9-1

publication date

8 November 2012

0 references

0.9-2

publication date

21 December 2012

0 references

0.9-32

publication date

13 July 2013

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0.9-33

publication date

29 March 2014

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0.9-41

publication date

26 August 2014

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0.9-43

publication date

24 April 2015

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0.9-44

publication date

22 May 2016

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0.9-46

publication date

22 January 2018

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0.9-48.1

publication date

26 May 2019

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0.9-48

publication date

3 June 2018

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10-1.1

publication date

10 January 2020

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10-1.2

publication date

4 February 2020

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11.0.0

publication date

21 February 2022

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11.0.2

publication date

9 March 2022

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11.0.4.1

publication date

1 February 2024

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0 references

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1 February 2024

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description

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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author

Antonio Fabio di Narzo

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Matthieu Stigler

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copyright license

GNU General Public License, version 2.0

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GNU General Public License, version 3.0

edition/version

expanded from: GPL (≥ 2) (English)