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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 2.5 MB | win-64/r-tsdyn-11.0.4.1-r44h11b023d_1.conda  8 months and 1 day ago 466 main
conda 2.5 MB | win-64/r-tsdyn-11.0.4.1-r43h11b023d_1.conda  8 months and 1 day ago 472 main
conda 2.5 MB | osx-64/r-tsdyn-11.0.4.1-r43h6b9d099_1.conda  8 months and 1 day ago 445 main
conda 2.5 MB | osx-64/r-tsdyn-11.0.4.1-r44h6b9d099_1.conda  8 months and 1 day ago 464 main
conda 2.5 MB | linux-64/r-tsdyn-11.0.4.1-r43hdb488b9_1.conda  8 months and 1 day ago 1036 main
conda 2.5 MB | linux-64/r-tsdyn-11.0.4.1-r44hdb488b9_1.conda  8 months and 1 day ago 1001 main
conda 2.5 MB | win-64/r-tsdyn-11.0.4.1-r41h6d2157b_0.conda  1 year and 1 month ago 489 main
conda 2.5 MB | osx-64/r-tsdyn-11.0.4.1-r43hb2c329c_0.conda  1 year and 1 month ago 450 main
conda 2.5 MB | osx-64/r-tsdyn-11.0.4.1-r42hb2c329c_0.conda  1 year and 1 month ago 444 main
conda 2.5 MB | linux-64/r-tsdyn-11.0.4.1-r42h57805ef_0.conda  1 year and 1 month ago 1414 main
conda 2.5 MB | linux-64/r-tsdyn-11.0.4.1-r43h57805ef_0.conda  1 year and 1 month ago 1372 main

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