tseriesTARMA (Q74108)
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Analysis of Nonlinear Time Series Through Threshold Autoregressive Moving Average Models (TARMA) Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | tseriesTARMA |
Analysis of Nonlinear Time Series Through Threshold Autoregressive Moving Average Models (TARMA) Models |
Statements
expanded from: GPL (≥ 2) (English)
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13 February 2026
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Routines for nonlinear time series analysis based on Threshold Autoregressive Moving Average (TARMA) models. It provides functions and methods for: TARMA model fitting and forecasting, including robust estimators, see Goracci et al. JBES (2025) <doi:10.1080/07350015.2024.2412011>; tests for threshold effects, see Giannerini et al. JoE (2024) <doi:10.1016/j.jeconom.2023.01.004>, Goracci et al. Statistica Sinica (2023) <doi:10.5705/ss.202021.0120>, Angelini et al. (2024) OBES <doi:10.1111/obes.12647>; unit-root tests based on TARMA models, see Chan et al. Statistica Sinica (2024) <doi:10.5705/ss.202022.0125>.
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