Description
Nonlinear Time Series Models with Regime Switching.
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).
README.md
tsDyn
Package tsDyn implements a variety of non-linear time series models. To read more about it, look at:
Installation
You can install the released version of tsDyn from CRAN with:
install.packages("tsDyn")
Development version
Most of the development is hosted under the branch called Dev94. To install that version, use:
library(remotes)
remotes::install_github("MatthieuStigler/tsDyn/tsDyn", ref = "dev")