TVAR {tsDyn}R Documentation

Multivariate Treshold Autoregressive model

Description

Estimate a multivariate Threshold VAR

Usage

TVAR(data, lag, include = c( "const", "trend","none", "both"), model=c("TAR", "MTAR"), commonInter=FALSE, nthresh=1,thDelay=1, mTh=1,thVar, trim=0.1,ngrid, gamma=NULL,  around, plot=FALSE, dummyToBothRegimes=TRUE,trace=TRUE, trick="for", max.iter=2)

Arguments

data time series
lag Number of lags to include in each regime
include Type of deterministic regressors to include
model Whether the transition variable is taken in levels (TAR) or difference (MTAR)
commonInter Whether the deterministic regressors are regime specific (commonInter=FALSE) or not.
nthresh Number of thresholds
thDelay 'time delay' for the threshold variable (as multiple of embedding time delay d) PLEASE NOTE that the notation is currently different to univariate models in tsDyn. The left side variable is taken at time t, and not t+1 as in univariate cases.
mTh combination of variables with same lag order for the transition variable. Either a single value (indicating which variable to take) or a combination
thVar external transition variable
trim trimming parameter indicating the minimal percentage of observations in each regime
ngrid number of elements of the grid, especially for nthresh=3
gamma prespecified threshold values
around The grid search is restricted to ngrid values around this point. Especially useful for nthresh=3.
plot Whether a plot showing the results of the grid search should be printed
dummyToBothRegimes Whether the dummy in the one threshold model is applied to each regime or not.
trace should additional infos be printed out?
trick type of R function called: for or mapply
max.iter Number of iterations for the alogorithm

Details

For fixed th and threshold variable, the model is linear, so estimation can be done directly by CLS (Conditional Least Squares). The search of the parameters values is made upon a grid of potential values. So it is pretty slow.

nthresh=1: estimation of one threshold model (two regimes) upon a grid of ngrid values (default to ALL) possible thresholds and delays values.

nthresh=2: estimation of two thresholds model (three regimes) Conditional on the threshold found in model where nthresh=1, the second threshold is searched. When both are found, a second grid search is made with 30 values around each threshold.

nthresh=3: DOES NOT estimate a 3 thresholds model, but a 2 thresholds model with a whole grid over the threholds parameters (so is realy slow) with a given delay, is there rather to check the consistency of the method nthresh=2

Value

Fitted model data

Author(s)

Matthieu Stigler

References

TODO

See Also

TODO

Examples

data(zeroyld)

data<-zeroyld

TVAR(data, lag=2, nthresh=2, thDelay=1, trim=0.1, mTh=1, plot=TRUE)

##The one threshold (two regimes) gives a value of 10.698 for the threshold and 1 for the delay. Conditional on this values, the search for a second threshold (three regimes) gives 8.129. Starting from this values, a full grid search finds the same values and confims the first step estimation. 

[Package tsDyn version 0.7-1 Index]