Nonlinear time series models with regime switching


[Up] [Top]

Documentation for package ‘tsDyn’ version 0.7-23

Help Pages

tsDyn-package Getting started with the tsDyn package
AAR Additive nonlinear autoregressive model
aar Additive nonlinear autoregressive model
addRegime addRegime test
AIC.nlar nlar methods
as.data.frame.llar Locally linear model
autopairs Bivariate time series plots
autotriples Trivariate time series plots
autotriples.rgl Interactive trivariate time series plots
availableModels Available models
BBCTest Test of unit root against SETAR alternative
BIC Bayesian (Schwarz) information criterion
bic Bayesian (Schwarz) information criterion
coef.nlar nlar methods
d2sigmoid sigmoid functions
delta delta test of conditional indipendence
delta.lin delta test of linearity
delta.lin.test delta test of linearity
delta.test delta test of conditional indipendence
dsigmoid sigmoid functions
extendBoot extension of the bootstrap replications
fitted.nlar nlar methods
getTh Extract threshold(s) coefficient
getTh.default Extract threshold(s) coefficient
IIPUs US monthly industrial production from Hansen (1999)
isLinear isLinear
KapShinTest Test of unit root against SETAR alternative with
LINEAR Linear AutoRegressive models
linear Linear AutoRegressive models
lineVar Multivariate linear models: VAR and VECM
llar Locally linear model
llar.fitted Locally linear model
llar.predict Locally linear model
LSTAR Logistic Smooth Transition AutoRegressive model
lstar Logistic Smooth Transition AutoRegressive model
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
nlar-methods nlar methods
nlarDialog GUI to nlar
NNET Neural Network nonlinear autoregressive model
nnetTs Neural Network nonlinear autoregressive model
OlsTVAR Multivariate Treshold Autoregressive model
plot-methods Plotting methods for setar and lstar subclasses
plot.aar Additive nonlinear autoregressive model
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
predict.nlar nlar methods
print.aar Additive nonlinear autoregressive model
print.linear Linear AutoRegressive models
print.llar Locally linear model
print.nlar nlar methods
print.summary.linear Linear AutoRegressive models
regime Extract variable showing regime
regime.default Extract variable showing regime
residuals.nlar nlar methods
resVar Residual variance
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.sim Simulation and bootstrap of Treshold Autoregressive model
setarTest Test of linearity
setartest Test of linearity
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.setar Self Threshold Autoregressive model
toLatex.nlar nlar methods
toLatex.setar Latex representation of fitted setar models
tsDyn Getting started with the tsDyn package
TVAR Multivariate Treshold Autoregressive model
TVAR.LRtest Test of linearity
TVAR.sim Simulation and bootstrap of multivariate Treshold Autoregressive model
TVECM Treshold Vector Error Correction model (VECM)
TVECM.SeoTest No cointegration vs threshold cointegration test
TVECM.sim Simulation and bootstrap of bivariate VECM/TVECM
UsUnemp US unemployment series used in Caner and Hansen (2001)
VAR.sim Simulation of VAR
zeroyld zeroyld time series