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).
Version: 11.0.5.2 Depends: R (≥ 3.5.0) Imports: mnormt, mgcv, nnet, tseriesChaos, tseries, utils, vars, urca, forecast, MASS, Matrix, foreach, methods, generics Suggests: sm, scatterplot3d, rgl, rugarch, broom, dplyr, stringr, purrr, tibble, tidyr, testthat (≥ 3.0.0) Published: 2024-10-31 DOI: 10.32614/CRAN.package.tsDyn Author: Antonio Fabio Di Narzo [aut], Jose Luis Aznarte [ctb], Matthieu Stigler [aut, cre] Maintainer: Matthieu Stigler <Matthieu.Stigler at gmail.com> BugReports: https://github.com/MatthieuStigler/tsDyn/issues License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] URL: https://github.com/MatthieuStigler/tsDyn/wiki NeedsCompilation: yes Citation: tsDyn citation info Materials: README NEWS In views: Econometrics, Finance, TimeSeries CRAN checks: tsDyn resultsRetroSearch is an open source project built by @garambo | Open a GitHub Issue
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