tsDyn (0.7-22)

Nonlinear time series models with regime switching.


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 dynamicsis available when the transition is either direct (TAR: threshold AR) or smooth (STAR: smooth transition AR, LSTAR). For multivariate series, estimation and testing of threshold cointegration TVAR/TVECM models can be done.

Maintainer: Mathtieu Stigler
Author(s): Antonio Fabio Di Narzo, Jose Luis Aznarte, Matthieu Stigler

License: GPL (>= 2)

Uses: Matrix, mgcv, mnormt, nnet, snow, tseries, tseriesChaos, rgl, scatterplot3d, sm
Reverse suggests: mFilter

Released almost 10 years ago.