search for: selectsetar

...n offers an overview of the threshold cointegration framework and describes the implemented functions. It can serve as an ideal introduction 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 funct...

...n offers an overview of the threshold cointegration framework and describes the implemented functions. It can serve as an ideal introduction 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 funct...

Dear Matthieu or other friends, I want to select two unknown thresholds with the following function: grid<- selectSETAR(x1, m=1, thDelay=0, criterion=C("AIC","SSR"), nthresh=2) print(grid) plot(grid) where x1 is a price time series. However, it always shows the following error. Error in selectSETAR(x1, m = 1, thDelay = 0, criterion = C("AIC", "SSR"), : unused a...

...ll, I have problem to estimate a SETAR model. I always get an error message. Here is the code: ## there are 4175 observation in the series (a). > a[1:10,1] [1] 1.496498 1.496602 1.496636 1.496515 1.496515 1.496463 1.496429 1.496549 1.496480 [10] 1.496498 > library("tsDyn") > selectSETAR(a, m=2)Using maximum autoregressive order for low regime: mL = 2 Using maximum autoregressive order for high regime: mH = 2 Searching on 1552 possible threshold values within regimes with sufficient ( 15% ) number of observations Searching on 6208 combinations of thresholds ( 1552 ), thDelay ( 1...

...1.496636 1.496515 1.496515 1.496463 >>>> >>>>> 1.496429 1.496549 1.496480 >>>>> >>>>> [10] 1.496498 >>>> >>>> library("tsDyn") >>>> >>>>> >>>>> >>>> selectSETAR(a, m=2)Using maximum autoregressive order for low regime: >>>> mL >>>> >>>>> = 2 >>>>> >>>>> Using maximum autoregressive order for high regime: mH = 2 >>>> Searching on 1552 possible threshold values within regimes w...