TAR.lagd {BAYSTAR}

Identification of lag order of threshold variable

Description

The delay d has a discrete uniform prior over the integers: 1,2,..., d0, where d0 is a set maximum delay. We draw the delay lag of threshold variable from a multinomial distribution.

Usage

TAR.lagd(ay, p1, p2, ph.1, ph.2, sig.1, sig.2, 
         thres, lagp1, lagp2, constant = 1, d0, thresVar)

Arguments

A list containing:

ay

The real data set. (input)

p1

Number of AR coefficients in regime one.

p2

Number of AR coefficients in regime two.

ph.1

The vector of AR parameters in regime one.

ph.2

The vector of AR parameters in regime two.

sig.1

The error terms of AR model in the regime one.

sig.2

The error terms of AR model in the regime two.

thres

The threshold parameter.

lagp1

The vector of non-zero autoregressive lags for the lower regime. (regime one); e.g. An AR model with p1=3, it could be non-zero lags 1,3, and 5 would set lagp1<-c(1,3,5).

lagp2

The vector of non-zero autoregressive lags for the upper regime. (regime two)

constant

Use the CONSTANT option to fit a model with/without a constant term (1/0). By default CONSTANT=1.

d0

The maximum delay lag could be selected.

thresVar

Exogenous threshold variable. (if missing, the series x is used)

Author(s)

Cathy W.S. Chen, Edward Lin