Skip to Content

tsDyn

Nonlinear time series models with regime switching
Antonio Fabio Di Narzo [aut, cre], Jose Luis Aznarte [ctb], Matthieu Stigler [aut, cre]
GPL (>= 2)
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).
Versions
Package Version Released
tsDyn 0.9-32 1 year 14 weeks ago
tsDyn 0.9-2 1 year 43 weeks ago
tsDyn 0.9-1 1 year 50 weeks ago
tsDyn 0.9-0 1 year 51 weeks ago
tsDyn 0.8-1 2 years 35 weeks ago
tsDyn 0.7-62 2 years 44 weeks ago
tsDyn 0.7-60 3 years 23 weeks ago
tsDyn 0.7-52 3 years 24 weeks ago
tsDyn 0.7-40 4 years 10 weeks ago
tsDyn 0.7-30 4 years 16 weeks ago
0
Your rating: None
0
Your rating: None