Displaying 3 results from an estimated 3 matches for "linevar".
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linear
2010 Dec 08
2
VARMA
...the model or the model structures is given by:
Xt=beta1+beta2*Xt-1+beta3*Yt-1+epsilon1
Yt=beta4+beta5*Yt-1+espilon2
epsilon1 and espilon2 are white noise.
Xt is given by a vector of n elements e.g. (2, 4, 7, 9, …,n)’ and Yt is
given by a vector of n elements e.g. (4,9,12,17,…,n)’.
The lineVar from tsDyn allows estimating VAR(p)-processes but not
VARMA(p,q)-processes and support not the explained model structure of Xt and
Yt.
Is there any easy understandable program available that supports estimation
of these model parameters ?
Thanks so much.
Best,
Thomas
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2009 Jul 26
0
Version 0.7 of package tsDyn, nonlinear time series
...duction for people
interested in discovering this field.
Main new features include:
-added possibilty to have two thresolds and hence three regimes in setar
and selectSETAR (arg nthresh)
-new functions for unit roots tests: KapShinTest() and BBCTest()
-new functions for estimating VAR and VECM: lineVar
-new function for estimating TVECM: function TVECM()
-new function for estimating TVAR: function TVAR()
-new function to test for setar: function setarTest()
-new function to test for TVAR: function TVAR.LRtest()
-new function to test for TVECM: functions TVECM.SeoTest() and
HanSeo_TVECM()
-new fu...
2009 Jul 26
0
Version 0.7 of package tsDyn, nonlinear time series
...duction for people
interested in discovering this field.
Main new features include:
-added possibilty to have two thresolds and hence three regimes in setar
and selectSETAR (arg nthresh)
-new functions for unit roots tests: KapShinTest() and BBCTest()
-new functions for estimating VAR and VECM: lineVar
-new function for estimating TVECM: function TVECM()
-new function for estimating TVAR: function TVAR()
-new function to test for setar: function setarTest()
-new function to test for TVAR: function TVAR.LRtest()
-new function to test for TVECM: functions TVECM.SeoTest() and
HanSeo_TVECM()
-new fu...