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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).

copied from cf-staging / r-tsdyn
Type Size Name Uploaded Downloads Labels
conda 3.6 MB | win-64/r-tsdyn-11.0.5.2-r44h11b023d_0.conda  15 days and 1 hour ago 62 main
conda 3.6 MB | osx-64/r-tsdyn-11.0.5.2-r44h79f565e_0.conda  15 days and 1 hour ago 20 main
conda 3.6 MB | win-64/r-tsdyn-11.0.5.2-r43h11b023d_0.conda  15 days and 1 hour ago 68 main
conda 3.6 MB | osx-64/r-tsdyn-11.0.5.2-r43h79f565e_0.conda  15 days and 1 hour ago 18 main
conda 3.6 MB | linux-64/r-tsdyn-11.0.5.2-r44h2b5f3a1_0.conda  15 days and 1 hour ago 124 main
conda 3.6 MB | linux-64/r-tsdyn-11.0.5.2-r43h2b5f3a1_0.conda  15 days and 1 hour ago 109 main

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