# Nonlinear Time Series Models with Regime Switching

## Documentation for package ‘tsDyn’ version 0.9-48

- DESCRIPTION file.
- User guides, package vignettes and other documentation.

## Help Pages

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 --

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 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.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.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 | 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 | Virtua VECM model

## -- Z --

zeroyld | zeroyld time series