# Nonlinear Time Series Models with Regime Switching

## Documentation for package ‘tsDyn’ version 11.0.5.2

- DESCRIPTION file
- User guides, package vignettes and other documentation
- Package NEWS
- Package README

## Help Pages

A B C D 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
ar_mean | Long-term mean of an AR(p) process
ar_mean.linear | Long-term mean of an AR(p) process
ar_mean.lstar | Long-term mean of an AR(p) process
ar_mean.setar | Long-term mean of an AR(p) process
as.data.frame.llar | Locally linear model
as.data.frame.rank.select | Selection of the cointegrating rank with Information criterion.
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
BIC.nlar | NLAR methods

## -- C --

charac_root | Characteristic roots of the AR coefficients
charac_root.nlar | Characteristic roots of the AR coefficients
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
deviance.nlar | NLAR methods
dsigmoid | sigmoid functions

## -- F --

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
GIRF | Generalized Impulse response Function (GIRF)
GIRF.linear | Generalized Impulse response Function (GIRF)
GIRF.nlVar | Generalized Impulse response Function (GIRF)
GIRF.setar | Generalized Impulse response Function (GIRF)

## -- I --

IIPUs | US monthly industrial production from Hansen (1999)
irf.ar | Impulse response function
irf.linear | Impulse response function
irf.nlVar | Impulse response function
irf.setar | Impulse response function
irf.TVAR | Impulse response function
irf.TVECM | Impulse response function
irf.VAR | Impulse response function
irf.VECM | 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
linear.boot | Simulation and bootstrap of Threshold Autoregressive model (SETAR)
linear.sim | Simulation and bootstrap of Threshold Autoregressive model (SETAR)
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.VAR | Extract Log-Likelihood
logLik.VECM | Extract Log-Likelihood
LSTAR | Logistic Smooth Transition AutoRegressive model
lstar | Logistic Smooth Transition AutoRegressive model

## -- M --

m.unrate | Monthly US unemployment
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 Vector Autoregressive model

## -- P --

plot-methods | Plotting methods for SETAR and LSTAR subclasses
plot.aar | Additive nonlinear autoregressive model
plot.GIRF_df | Generalized Impulse response Function (GIRF)
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
plot_ECT | Plot the Error Correct Term (ECT) response
predict | Predict method for objects of class "nlar".
predict.nlar | Predict method for objects of class "nlar".
predict.TVAR | Predict method for objects of class "VAR", "VECM" or "TVAR"
predict.VAR | Predict method for objects of class "VAR", "VECM" or "TVAR"
predict.VECM | Predict method for objects of class "VAR", "VECM" or "TVAR"
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.rank.select | Selection of the cointegrating rank with Information criterion.
print.rank.test | Test of the cointegrating rank
print.summary.linear | Linear AutoRegressive models

## -- R --

rank.select | Selection of the cointegrating rank with Information criterion.
rank.test | Test of the cointegrating rank
regime | Extract a variable showing the regime
regime.default | Extract a variable showing the regime
regime.lstar | Extract a variable showing the regime
resample_vec | Resampling schemes
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.boot | Simulation and bootstrap of Threshold Autoregressive model (SETAR)
setar.sim | Simulation and bootstrap of Threshold Autoregressive model (SETAR)
setarTest | Test of linearity against threshold (SETAR)
setartest | Test of linearity against threshold (SETAR)
setarTest_IIPUs_results | Results from the setarTest, applied on Hansen (1999) data
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 Vector Autoregressive model
TVAR.boot | Simulation of a multivariate Threshold Autoregressive model (TVAR)
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 a VECM or bivariate TVECM
TVECM.HStest | Test of linear cointegration vs threshold cointegration
TVECM.SeoTest | No cointegration vs threshold cointegration test
TVECM.sim | Simulation and bootstrap a VECM or bivariate TVECM

## -- U --

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

## -- V --

VAR.boot | Simulate or bootstrap a VAR model
VAR.sim | Simulate or bootstrap a VAR model
VARrep | VAR representation
VARrep.VAR | VAR representation
VARrep.VECM | VAR representation
VECM | Estimation of Vector error correction model (VECM)
VECM.boot | Simulation and bootstrap a VECM or bivariate TVECM
VECM.sim | Simulation and bootstrap a VECM or bivariate TVECM
VECM_symbolic | Virtual VECM model

## -- Z --

zeroyld | zeroyld time series
zeroyldMeta | zeroyld time series