On Bayesian Analysis of Threshold Autoregressive Models

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Documentation for package ‘BAYSTAR’ version 0.2-10

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BAYSTAR Threshold Autoregressive model: Bayesian approach
TAR.coeff Estimate AR coefficients
TAR.lagd Identification of lag order of threshold variable
TAR.lik Log-likelihood function
TAR.sigma To draw the variance of error distribution.
TAR.simu Simulated data from TAR model
TAR.summary Calculate summary statistics for all parameters
TAR.thres To draw a threshold value.
unemployrate U.S. monthly civilian unemployment rate