resVar {tsDyn}

Residual variance

Description

Extracts the global and regime-dependent variance of the residuals

Usage

resVar(x, adj=c("OLS", "ML"))

Arguments

x

setar object

adj

Degrees of freedom adjustment for the variance

Details

The degree of freedom adjustment in the formula for the variance is the number of parameters when adj="OLS" or zero when adj="ML".

Value

A vector containing:

Total

The residual variance of the full sample

L, (M), H

The residual variance of the lower (L), middle (if two thresholds) (M) and higher (H) regimes

Author(s)

Matthieu Stigler

References

Non-Linear Time Series: A Dynamical Systems Approach, Tong, H., Oxford: Oxford University Press (1990).

Examples

#Lynx model as in Tong (1980, p. 387)
mod.setar <- setar(log10(lynx), mL=7,mH=2, thDelay=1, th=3.116)
summary(mod.setar)
#coefficients are same for lower regime but differ for higer

resVar(mod.setar, adj="ML")
#variance or the residuals is same for lower regime but differ for higer regime and hence for total

#Lynx model as in Tong (1980, p. 405)
mod.setar2 <- setar(log10(lynx), mL=1,mM=7,mH=2, thDelay=1, nthresh=2,th=c(2.373, 3.154))
round(coefficients(mod.setar2),3)

resVar(mod.setar2, adj="ML")