tsDyn
swMATH12355CRANtsDynMaRDI QIDQ24284FDOQ24284
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
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).
Cited In (11)
- Financial, macro and micro econometrics using R
- A cointegration analysis of crime, economic activity, and police performance in São Paulo city
- Regime dependent interconnectedness among fuzzy clusters of financial time series
- Semiparametric Regression with R
- Linearity testing for fuzzy rule-based models
- Applied Econometrics with R
- GVARX
- Forecasting in nonlinear univariate time series using penalized splines
- NonlinearTSA
- dvqcc
- Fuzzy Autoregressive Rules: Towards Linguistic Time Series Modeling
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