Last data update: 2014.03.03
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R: STAR model
STAR model
Description
STAR model fitting with automatic selection of the number of regimes
based on LM tests.
Usage
star(x, m=2, noRegimes, d = 1, steps = d, series, rob = FALSE,
mTh, thDelay, thVar, sig=0.05, trace=TRUE, control=list(), ...)
Arguments
x |
time series
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m, d, steps |
embedding dimension, time delay, forecasting steps
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noRegimes |
max number of regimes
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series |
time series name (optional)
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rob |
perform robust test (not implemented)
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thDelay |
'time delay' for the threshold variable (as multiple of
embedding time delay d)
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mTh |
coefficients for the lagged time series, to obtain the
threshold variable
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thVar |
external threshold variable
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sig |
significance level for the tests to select the number of regimes.
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control |
further arguments to be passed as control list to
optim
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trace |
should additional infos be printed out?
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... |
currently unused
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Details
The function star implements the iterative building strategy described
in [1] to identify and estimate Smooth Transition AutoRegressive
models.
[1] T. Terasvirta, "Specification, estimation and evaluation of smooth
transition autoregresive models", J. Am. Stat. Assoc. 89 (1994):
208-218.
Value
star returns an object of class nlar , subclass
star , i.e. a list with informations about the fitted model.
Author(s)
J. L. Aznarte M.
See Also
addRegime
Examples
mod.star <- star(log10(lynx), mTh=c(0,1), control=list(maxit=3000))
mod.star
addRegime(mod.star)
Results
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