tsDyn

Nonlinear Time Series Models with Regime Switching

Antonio Fabio di Narzo, Matthieu Stigler

Last update: 1 February 2024

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 11.0.4, 0.5-2, 0.5-3, 0.5-4, 0.5-5, 0.5-6, 0.5-7, 0.6-0, 0.6-1, 0.7-1, 0.7-2, 0.7-22, 0.7-23, 0.7-30, 0.7-40, 0.7-52, 0.7-60, 0.7-62, 0.7, 0.8-1, 0.9-0, 0.9-1, 0.9-2, 0.9-32, 0.9-33, 0.9-41, 0.9-43, 0.9-44, 0.9-46, 0.9-48.1, 0.9-48, 10-1.1, 10-1.2, 11.0.0, 11.0.2, 11.0.4.1

Source code repository: https://github.com/cran/tsDyn

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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