tseriesTARMA

MaRDI QIDQ74108CRANFDO

Authors Simone Giannerini, Greta Goracci

Last update 13 February 2026

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

Software version identifier 0.3-2, 0.3-1, 0.3-4, PACKAGES.rds, 0.5-1, 0.5-2

Description

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>.

Cites work

• Robust Estimation for Threshold Autoregressive Moving-Average Models
• Testing for Threshold Effects in the Presence of Heteroskedasticity and Measurement Error With an Application to Italian Strikes
• Testing for Threshold Effects in the TARMA Framework
• Testing for threshold regulation in presence of measurement error
• The validity of bootstrap testing for threshold autoregression

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