Nonlinear Time Series Models with Regime Switching


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Documentation for package ‘tsDyn’ version 0.9-44

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A B C D E F G I K L M N O P R S T U V Z

tsDyn-package Getting started with the tsDyn package

-- A --

AAR Additive nonlinear autoregressive model
aar Additive nonlinear autoregressive model
accuracy_stat Forecasting accuracy measures.
accuracy_stat.default Forecasting accuracy measures.
accuracy_stat.pred_roll Forecasting accuracy measures.
addRegime addRegime test
AIC.nlar nlar methods
as.data.frame.llar Locally linear model
autopairs Bivariate time series plots
autotriples Trivariate time series plots
autotriples.rgl Interactive trivariate time series plots
availableModels Available models

-- B --

barry Time series of PPI used as example in Bierens and Martins (2010)
BBCTest Test of unit root against SETAR alternative

-- C --

coef.nlar nlar methods
coefA Extract cointegration parameters A, B and PI
coefA.ca.jo Extract cointegration parameters A, B and PI
coefA.VECM Extract cointegration parameters A, B and PI
coefB Extract cointegration parameters A, B and PI
coefB.ca.jo Extract cointegration parameters A, B and PI
coefB.VECM Extract cointegration parameters A, B and PI
coefPI Extract cointegration parameters A, B and PI

-- D --

d2sigmoid sigmoid functions
delta delta test of conditional independence
delta.lin delta test of linearity
delta.lin.test delta test of linearity
delta.test delta test of conditional independence
dsigmoid sigmoid functions

-- E --

extendBoot extension of the bootstrap replications

-- F --

fevd Forecast Error Variance Decomposition
fevd.nlVar Forecast Error Variance Decomposition
fitted fitted method for objects of class nlVar, i.e. VAR and VECM models.
fitted.nlar nlar methods
fitted.nlVar fitted method for objects of class nlVar, i.e. VAR and VECM models.

-- G --

getTh Extract threshold(s) coefficient
getTh.default Extract threshold(s) coefficient

-- I --

IIPUs US monthly industrial production from Hansen (1999)
irf Impulse response function
irf.nlVar Impulse response function
isLinear isLinear

-- K --

KapShinTest Test of unit root against SETAR alternative with

-- L --

lags.select Selection of the lag with Information criterion.
LINEAR Linear AutoRegressive models
linear Linear AutoRegressive models
lineVar Multivariate linear models: VAR and VECM
llar Locally linear model
llar.fitted Locally linear model
llar.predict Locally linear model
logLik.nlVar Extract Log-Likelihood
logLik.VECM Extract Log-Likelihood
LSTAR Logistic Smooth Transition AutoRegressive model
lstar Logistic Smooth Transition AutoRegressive model

-- M --

MakeThSpec Specification of the threshold search
makeThSpec Specification of the threshold search
MAPE Mean Absolute Percent Error
MAPE.default Mean Absolute Percent Error
MAPE.nlar nlar methods
mse Mean Square Error
mse.default Mean Square Error
mse.nlar nlar methods

-- N --

nlar-methods nlar methods
NNET Neural Network nonlinear autoregressive model
nnetTs Neural Network nonlinear autoregressive model

-- O --

OlsTVAR Multivariate Threshold Autoregressive model

-- P --

plot-methods Plotting methods for SETAR and LSTAR subclasses
plot.aar Additive nonlinear autoregressive model
plot.llar Locally linear model
plot.lstar Plotting methods for SETAR and LSTAR subclasses
plot.nlar nlar methods
plot.setar Plotting methods for SETAR and LSTAR subclasses
predict Predict method for objects of class "nlar".
predict.nlar Predict method for objects of class "nlar".
predict.VAR Predict method for objects of class "VAR" or "VECM"
predict.VECM Predict method for objects of class "VAR" or "VECM"
predict_rolling Rolling forecasts
predict_rolling.nlVar Rolling forecasts
print.aar Additive nonlinear autoregressive model
print.linear Linear AutoRegressive models
print.llar Locally linear model
print.nlar nlar methods
print.rank.select Selection of the cointegrating rank with Information criterion.
print.rank.test Test of the cointegrating rank
print.summary.linear Linear AutoRegressive models
print.varirf Impulse response function

-- R --

rank.select Selection of the cointegrating rank with Information criterion.
rank.test Test of the cointegrating rank
regime Extract variable showing regime
regime.default Extract variable showing regime
residuals.nlar nlar methods
resVar Residual variance

-- S --

selectLSTAR Automatic selection of model hyper-parameters
selectNNET Automatic selection of model hyper-parameters
selectSETAR Automatic selection of SETAR hyper-parameters
selectSetar Automatic selection of SETAR hyper-parameters
selectsetar Automatic selection of SETAR hyper-parameters
SETAR Self Threshold Autoregressive model
setar Self Threshold Autoregressive model
setar.sim Simulation and bootstrap of Threshold Autoregressive model
setarTest Test of linearity
setartest Test of linearity
sigmoid sigmoid functions
STAR STAR model
star STAR model
summary.aar Additive nonlinear autoregressive model
summary.linear Linear AutoRegressive models
summary.nlar nlar methods
summary.rank.select Selection of the cointegrating rank with Information criterion.
summary.rank.test Test of the cointegrating rank
summary.setar Self Threshold Autoregressive model

-- T --

toLatex.nlar nlar methods
toLatex.setar Latex representation of fitted setar models
tsDyn Getting started with the tsDyn package
TVAR Multivariate Threshold Autoregressive model
TVAR.boot Bootstrap a multivariate Threshold Autoregressive (TVAR) model
TVAR.LRtest Test of linearity
TVAR.sim Simulation of a multivariate Threshold Autoregressive model (TVAR)
TVECM Threshold Vector Error Correction model (VECM)
TVECM.boot Simulation and bootstrap of bivariate VECM/TVECM
TVECM.HStest Test of linear cointegration vs threshold cointegration
TVECM.SeoTest No cointegration vs threshold cointegration test
TVECM.sim Simulation and bootstrap of bivariate VECM/TVECM

-- U --

UsUnemp US unemployment series used in Caner and Hansen (2001)

-- V --

VAR.boot Bootstrap a Vector Autoregressive (VAR) model
VAR.sim Simulation of a multivariate Threshold Autoregressive model (TVAR)
VARrep VAR representation
VARrep.VAR VAR representation
VARrep.VECM VAR representation
VECM Estimation of Vector error correction model (VECM)
VECM.boot Simulation and bootstrap of bivariate VECM/TVECM
VECM.sim Simulation and bootstrap of bivariate VECM/TVECM
VECM_symbolic Virtua VECM model

-- Z --

zeroyld zeroyld time series