Nonlinear Time Series Models with Regime Switching

Documentation for package ‘tsDyn’ version 11.0.4.1

Help Pages

Getting started with the tsDyn package

-- A --

AAR	Additive nonlinear autoregressive model
aar	Additive nonlinear autoregressive model
accuracy_stat	Forecasting accuracy measures.
accuracy_stat.default	Forecasting accuracy measures.
accuracy_stat.pred_roll	Forecasting accuracy measures.
addRegime	addRegime test
AIC.nlar	NLAR methods
ar_mean	Long-term mean of an AR(p) process
ar_mean.linear	Long-term mean of an AR(p) process
ar_mean.lstar	Long-term mean of an AR(p) process
ar_mean.setar	Long-term mean of an AR(p) process
as.data.frame.llar	Locally linear model
as.data.frame.rank.select	Selection of the cointegrating rank with Information criterion.
autopairs	Bivariate time series plots
autotriples	Trivariate time series plots
autotriples.rgl	Interactive trivariate time series plots
availableModels	Available models

-- B --

barry	Time series of PPI used as example in Bierens and Martins (2010)
BBCTest	Test of unit root against SETAR alternative
BIC.nlar	NLAR methods

-- C --

charac_root	Characteristic roots of the AR coefficients
charac_root.nlar	Characteristic roots of the AR coefficients
coef.nlar	NLAR methods
coefA	Extract cointegration parameters A, B and PI
coefA.ca.jo	Extract cointegration parameters A, B and PI
coefA.VECM	Extract cointegration parameters A, B and PI
coefB	Extract cointegration parameters A, B and PI
coefB.ca.jo	Extract cointegration parameters A, B and PI
coefB.VECM	Extract cointegration parameters A, B and PI
coefPI	Extract cointegration parameters A, B and PI

-- D --

d2sigmoid	sigmoid functions
delta	delta test of conditional independence
delta.lin	delta test of linearity
delta.lin.test	delta test of linearity
delta.test	delta test of conditional independence
deviance.nlar	NLAR methods
dsigmoid	sigmoid functions

-- F --

fevd.nlVar	Forecast Error Variance Decomposition
fitted	fitted method for objects of class nlVar, i.e. VAR and VECM models.
fitted.nlar	NLAR methods
fitted.nlVar	fitted method for objects of class nlVar, i.e. VAR and VECM models.

-- G --

getTh	Extract threshold(s) coefficient
getTh.default	Extract threshold(s) coefficient
GIRF	Generalized Impulse response Function (GIRF)
GIRF.linear	Generalized Impulse response Function (GIRF)
GIRF.nlVar	Generalized Impulse response Function (GIRF)
GIRF.setar	Generalized Impulse response Function (GIRF)

-- I --

IIPUs	US monthly industrial production from Hansen (1999)
irf.ar	Impulse response function
irf.linear	Impulse response function
irf.nlVar	Impulse response function
irf.setar	Impulse response function
irf.TVAR	Impulse response function
irf.TVECM	Impulse response function
irf.VAR	Impulse response function
irf.VECM	Impulse response function
isLinear	isLinear

-- K --

Test of unit root against SETAR alternative with

-- L --

lags.select	Selection of the lag with Information criterion.
LINEAR	Linear AutoRegressive models
linear	Linear AutoRegressive models
linear.boot	Simulation and bootstrap of Threshold Autoregressive model (SETAR)
linear.sim	Simulation and bootstrap of Threshold Autoregressive model (SETAR)
lineVar	Multivariate linear models: VAR and VECM
llar	Locally linear model
llar.fitted	Locally linear model
llar.predict	Locally linear model
logLik.nlVar	Extract Log-Likelihood
logLik.VAR	Extract Log-Likelihood
logLik.VECM	Extract Log-Likelihood
LSTAR	Logistic Smooth Transition AutoRegressive model
lstar	Logistic Smooth Transition AutoRegressive model

-- M --

m.unrate	Monthly US unemployment
MakeThSpec	Specification of the threshold search
makeThSpec	Specification of the threshold search
MAPE	Mean Absolute Percent Error
MAPE.default	Mean Absolute Percent Error
MAPE.nlar	NLAR methods
mse	Mean Square Error
mse.default	Mean Square Error
mse.nlar	NLAR methods

-- N --

nlar-methods	NLAR methods
NNET	Neural Network nonlinear autoregressive model
nnetTs	Neural Network nonlinear autoregressive model

-- O --

Multivariate Threshold Vector Autoregressive model

-- P --

plot-methods	Plotting methods for SETAR and LSTAR subclasses
plot.aar	Additive nonlinear autoregressive model
plot.GIRF_df	Generalized Impulse response Function (GIRF)
plot.llar	Locally linear model
plot.lstar	Plotting methods for SETAR and LSTAR subclasses
plot.nlar	NLAR methods
plot.setar	Plotting methods for SETAR and LSTAR subclasses
plot_ECT	Plot the Error Correct Term (ECT) response
predict	Predict method for objects of class "nlar".
predict.nlar	Predict method for objects of class "nlar".
predict.TVAR	Predict method for objects of class "VAR", "VECM" or "TVAR"
predict.VAR	Predict method for objects of class "VAR", "VECM" or "TVAR"
predict.VECM	Predict method for objects of class "VAR", "VECM" or "TVAR"
predict_rolling	Rolling forecasts
predict_rolling.nlVar	Rolling forecasts
print.aar	Additive nonlinear autoregressive model
print.linear	Linear AutoRegressive models
print.llar	Locally linear model
print.rank.select	Selection of the cointegrating rank with Information criterion.
print.rank.test	Test of the cointegrating rank
print.summary.linear	Linear AutoRegressive models

-- R --

rank.select	Selection of the cointegrating rank with Information criterion.
rank.test	Test of the cointegrating rank
regime	Extract a variable showing the regime
regime.default	Extract a variable showing the regime
regime.lstar	Extract a variable showing the regime
resample_vec	Resampling schemes
residuals.nlar	NLAR methods
resVar	Residual variance

-- S --

selectLSTAR	Automatic selection of model hyper-parameters
selectNNET	Automatic selection of model hyper-parameters
selectSETAR	Automatic selection of SETAR hyper-parameters
selectSetar	Automatic selection of SETAR hyper-parameters
selectsetar	Automatic selection of SETAR hyper-parameters
SETAR	Self Threshold Autoregressive model
setar	Self Threshold Autoregressive model
setar.boot	Simulation and bootstrap of Threshold Autoregressive model (SETAR)
setar.sim	Simulation and bootstrap of Threshold Autoregressive model (SETAR)
setarTest	Test of linearity against threshold (SETAR)
setartest	Test of linearity against threshold (SETAR)
setarTest_IIPUs_results	Results from the setarTest, applied on Hansen (1999) data
sigmoid	sigmoid functions
STAR	STAR model
star	STAR model
summary.aar	Additive nonlinear autoregressive model
summary.linear	Linear AutoRegressive models
summary.nlar	NLAR methods
summary.rank.select	Selection of the cointegrating rank with Information criterion.
summary.rank.test	Test of the cointegrating rank
summary.setar	Self Threshold Autoregressive model

-- T --

toLatex.nlar	NLAR methods
toLatex.setar	Latex representation of fitted setar models
tsDyn	Getting started with the tsDyn package
TVAR	Multivariate Threshold Vector Autoregressive model
TVAR.boot	Simulation of a multivariate Threshold Autoregressive model (TVAR)
TVAR.LRtest	Test of linearity
TVAR.sim	Simulation of a multivariate Threshold Autoregressive model (TVAR)
TVECM	Threshold Vector Error Correction model (VECM)
TVECM.boot	Simulation and bootstrap a VECM or bivariate TVECM
TVECM.HStest	Test of linear cointegration vs threshold cointegration
TVECM.SeoTest	No cointegration vs threshold cointegration test
TVECM.sim	Simulation and bootstrap a VECM or bivariate TVECM

-- U --

US unemployment series used in Caner and Hansen (2001)

-- V --

VAR.boot	Simulate or bootstrap a VAR model
VAR.sim	Simulate or bootstrap a VAR model
VARrep	VAR representation
VARrep.VAR	VAR representation
VARrep.VECM	VAR representation
VECM	Estimation of Vector error correction model (VECM)
VECM.boot	Simulation and bootstrap a VECM or bivariate TVECM
VECM.sim	Simulation and bootstrap a VECM or bivariate TVECM
VECM_symbolic	Virtual VECM model

-- Z --

zeroyld	zeroyld time series
zeroyldMeta	zeroyld time series