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tsDyn
View on CRAN: Click
here
Download and install tsDyn package within the R console
Install from CRAN:
install.packages("tsDyn")
Install from Github:
library("remotes")
install_github("cran/tsDyn")
Install by package version:
library("remotes")
install_version("tsDyn", "11.0.4.1")
Attach the package and use:
library("tsDyn")
Maintained by
Matthieu Stigler
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2006-07-19
Latest Update: 2024-02-01
Description:
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 dynamics is available when the transition is either direct (TAR: threshold AR) or smooth (STAR: smooth transition AR, LSTAR). For multivariate series, one can estimate a range of TVAR or threshold cointegration TVECM models with two or three regimes. Tests can be conducted for TVAR as well as for TVECM (Hansen and Seo 2002 and Seo 2006).
How to cite:
Matthieu Stigler (2006). tsDyn: Nonlinear Time Series Models with Regime Switching. R package version 11.0.4.1, https://cran.r-project.org/web/packages/tsDyn
Previous versions and publish date:
0.5-2 (2006-07-19 18:28), 0.5-3 (2006-07-24 15:30), 0.5-4 (2006-09-21 14:10), 0.5-5 (2007-03-23 13:25), 0.5-6 (2007-05-16 17:13), 0.5-7 (2007-10-09 21:58), 0.6-0 (2008-02-03 13:23), 0.6-1 (2009-02-24 20:40), 0.7-1 (2009-09-05 13:53), 0.7-2 (2010-02-21 19:43), 0.7-22 (2010-02-23 08:49), 0.7-23 (2010-04-04 17:43), 0.7-30 (2010-07-02 09:11), 0.7-40 (2010-08-11 21:32), 0.7-52 (2011-05-09 09:56), 0.7-60 (2011-05-15 19:08), 0.7-62 (2011-12-19 12:17), 0.7 (2009-07-18 18:16), 0.8-1 (2012-02-16 17:26), 0.9-0 (2012-10-29 17:36), 0.9-1 (2012-11-08 17:51), 0.9-2 (2012-12-21 20:30), 0.9-32 (2013-07-13 16:36), 0.9-33 (2014-03-29 16:37), 0.9-41 (2014-08-26 18:12), 0.9-43 (2015-04-24 06:26), 0.9-44 (2016-05-22 22:56), 0.9-46 (2018-01-22 20:41), 0.9-48.1 (2019-05-26 09:50), 0.9-48 (2018-06-03 23:12), 10-1.1 (2020-01-10 13:20), 10-1.2 (2020-02-04 11:20), 11.0.0 (2022-02-21 10:00), 11.0.2 (2022-03-09 16:20), 11.0.4 (2023-01-26 16:00)
Other packages that cited tsDyn R package
View tsDyn citation profile
Other R packages that tsDyn depends,
imports, suggests or enhances
Functions, R codes and Examples using
the tsDyn R package
Some associated functions: BBCTest . DataUsUnemp . GIRF . IIPUs . KapShinTest . MAPE . MakeThSpec . TVAR.LRtest . TVAR . TVAR.sim . TVECM.HStest . TVECM.SeoTest . TVECM . TVECM.sim . VAR.boot . VARrep . VECM . VECM_symbolic . aar . accuracy_stat . addRegime . ar_mean . autopairs . autotriples . autotriples.rgl . availableModels . barry . charac_root . coefB . computeGradient . delta.lin . delta . fevd.nlVar . fitted.nlVar . getTh . irf.nlVar . isLinear . lags.select . lineVar . linear . llar . logLik.nlVar . lstar . m.unrate . mse . nlar-methods . nlar . nlar.struct . nnet . oneStep . plot-methods . plot_ECT . predict.VAR . predict.nlar . predict_rolling . rank.select . rank.test . reexports . regime . resVar . resample_vec . selectHyperParms . selectSETAR . setar . setar.sim . setarTest . setarTest_IIPUs_results . sigmoid . star . toLatex.setar . tsDyn-package . zeroyld .
Some associated R codes: BBCtest.R . GIRF.R . GIRF_plot.R . KapShinTest.R . TVAR.gen.R . TVAR_LRtest.R . TVARestim.R . TVECM.HStest.R . TVECM.R . TVECM.gen.R . TVECMSeoTest.R . VAR.sim.R . VECM_symbolic.R . aar.R . accuracy.R . acf.custom.R . ar_mean.R . autopairs.R . autotriples.R . autotriples.rgl.R . coefECT.R . delta.R . deprecated_guiSystem.R . deprecated_tsDynGUI.R . fevd_nlVar.R . irf.linear.R . irf.nlVar.R . isLinear.R . lineVar.R . linear.R . llar.R . lstar.R . misc.R . miscSETAR.R . misc_resamp.R . mod.gen.R . mod_boot_estim.R . nlAny-methods.R . nlVar-methods.R . nlar-methods.R . nnet.R . plot_ECT.R . predict.R . predict.TVAR.R . predict.VAR.R . predict_rolling.R . rank.select.R . rank.test.R . regime.R . resVar.R . roxy_datasets.R . roxy_imports.R . selectLSTAR.R . selectSETAR.R . setar.R . setar.gen.R . setarTest.R . star.R . vcov.R . vec2var.tsDyn.R . zzz.R . Full tsDyn package functions and examples
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