tsDyn

Test of unit root against SETAR alternative

US monthly industrial production from Hansen (1999)

US unemployment series used in Caner and Hansen (2001)

Test of unit root against SETAR alternative with

Mean Absolute Percent Error

Specification of the threshold search

Multivariate Threshold Autoregressive model

Test of linearity

Simulation of a multivariate Threshold Autoregressive model (TVAR)

Threshold Vector Error Correction model (VECM)

Test of linear cointegration vs threshold cointegration

No cointegration vs threshold cointegration test

Simulation and bootstrap a VECM or bivariate TVECM

Simulate or bootstrap a VAR model

VAR representation

Estimation of Vector error correction model (VECM)

Virtua VECM model

Additive nonlinear autoregressive model

Forecasting accuracy measures.

addRegime test

Bivariate time series plots

Trivariate time series plots

Interactive trivariate time series plots

Available models

Time series of PPI used as example in Bierens and Martins (2010)

Extract cointegration parameters A, B and PI

computeGradient

delta test of conditional independence

delta test of linearity

extension of the bootstrap replications

Forecast Error Variance Decomposition

fitted method for objects of class nlVar, i.e. VAR and VECM models.

Extract threshold(s) coefficient

Impulse response function

isLinear

Selection of the lag with Information criterion.

Multivariate linear models: VAR and VECM

Linear AutoRegressive models

Locally linear model

Extract Log-Likelihood

Extract Log-Likelihood

Logistic Smooth Transition AutoRegressive model

Monthly US unemployment

Mean Square Error

Non-linear time series model, base class definition

nlar methods

NLAR common structure

Neural Network nonlinear autoregressive model

oneStep

Plotting methods for SETAR and LSTAR subclasses

Predict method for objects of class ‘VAR’, ‘VECM’ or ‘TVAR’

Predict method for objects of class ‘nlar’.

Rolling forecasts

Selection of the cointegrating rank with Information criterion.

Test of the cointegrating rank

Extract variable showing regime

Residual variance

Automatic selection of model hyper-parameters

Automatic selection of SETAR hyper-parameters

Self Threshold Autoregressive model

Simulation and bootstrap of Threshold Autoregressive model

Test of linearity

sigmoid functions

STAR model

Latex representation of fitted setar models

Getting started with the tsDyn package

zeroyld time series