tsDyn

MaRDI QIDQ24284swMATHCRANFDO

Authors 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

Official website http://cran.r-project.org/web/packages/tsDyn/index.html

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).

Cited in

(27)

• bvartools
• Linearity testing for fuzzy rule-based models
• Regime dependent interconnectedness among fuzzy clusters of financial time series
• Fuzzy autoregressive rules: towards linguistic time series modeling
• Applied Econometrics with R
• Semiparametric regression with R
• A cointegration analysis of crime, economic activity, and police performance in São Paulo city
• vars
• CHAN4CAST
• MTS
• dynlm
• Forecasting in nonlinear univariate time series using penalized splines
• matconv
• spfrontier
• nonlinearTseries
• hts
• psymonitor
• semsfa
• smoots
• ssfa
• GVARX
• Financial, macro and micro econometrics using R
• nnfor
• NonlinearTSA
• dvqcc
• NlinTS
• BVAR

This page was built for software: tsDyn