Analysis of Nonlinear Time Series Through TARMA Models.
tseriesTARMA
Analysis of Nonlinear Time Series through Threshold Autoregressive Moving Average Models (TARMA) models
It provides advanced functions for:
- TARMA model fitting and forecasting:
- Least Squares fitting of a full subset TARMA model, including robust LS fitting.
- Maximum Likelihood fitting of a subset TARMA model with common MA parts and possible covariates.
- TARMA testing for threshold type nonlinearity:
- Tests for AR vs TAR (asymptotic, bootstrap, wild bootstrap)
- Tests for ARMA vs TARMA with both i.i.d. errors and GARCH errors.
- Unit-root testing against a stationary TARMA model
Installation
install.packages("tseriesTARMA")
Authors
References
- Giannerini, Goracci, and Rahbek (2023)
- Goracci, Ferrari, et al. (2023)
- Giannerini, Goracci, and Rahbek (2022)
- Giannerini and Goracci (2021)
- Goracci et al. (2021)
- Goracci, Giannerini, et al. (2023)
- K.-S. Chan and Goracci (2019)
- K.-S. Chan et al. (2024)
Chan, K. -S., and G. Goracci. 2019. “On the Ergodicity of First-Order Threshold Autoregressive Moving-Average Processes.” J. Time Series Anal. 40 (2): 256–64.
Chan, K.-S., S. Giannerini, G. Goracci, and H. Tong. 2024. “Testing for Threshold Regulation in Presence of Measurement Error.” Statistica Sinica 34 (3). https://doi.org/10.5705/ss.202022.0125.
Giannerini, S., and G. Goracci. 2021. “Estimating and Forecasting with TARMA Models.” University of Bologna.
Giannerini, S., G. Goracci, and A. Rahbek. 2022. “The Validity of Bootstrap Testing in the Threshold Framework.” arXiv. https://doi.org/10.48550/ARXIV.2201.00028.
———. 2023. “The Validity of Bootstrap Testing in the Threshold Framework.” Journal of Econometrics, no. 105379: in press. https://doi.org/10.1016/j.jeconom.2023.01.004.
Goracci, G., D. Ferrari, S. Giannerini, and F. Ravazzolo. 2023. “Robust Estimation for Threshold Autoregressive Moving-Average Models.” Free University of Bolzano, University of Bologna. https://doi.org/10.48550/ARXIV.2211.08205.
Goracci, G., S. Giannerini, K.-S. Chan, and H. Tong. 2021. “Testing for Threshold Effects in the TARMA Framework.” University of Bologna, Free University of Bolzano, University of Iowa, London School of Economics. https://arxiv.org/abs/2103.13977.
———. 2023. “Testing for Threshold Effects in the TARMA Framework.” Statistica Sinica 33 (3): 1879–1901. https://doi.org/10.5705/ss.202021.0120.