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MatthieuStigler edited this page May 31, 2013 · 1 revision

Package tsDyn: Wiki

tsDyn is a R package for modelling non-linear time series. It features following models:

Univariate models:

  • AR
  • SETAR
  • LSTAR
  • NNET
  • AAR

Bi/multivariate models:

  • VAR/VECM
  • TVAR/TVECM

Non-linearity tests:

  • Univariate test of linearity against SETAR, against LSTAR
  • Bivariate test of cointegration against threshold cointegration (Hansen Seo 2002)
  • Bivariate test of no coitegration against threshold cointegration (Seoo 200x)
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