tseriesTARMA {tseriesTARMA} | R Documentation |
tseriesTARMA: Analysis of Nonlinear Time Series through Threshold Autoregressive Moving Average Models (TARMA) models
Description
It provides advanced functions for:
TARMA model fitting and forecasting:
Least Squares fitting of a full subset TARMA model, including robust LS fitting.
Maximum Likelihood fitting of a subset TARMA model with common MA parts and possible covariates.
TARMA testing for threshold type nonlinearity:
Tests for AR vs TAR (asymptotic, bootstrap, wild bootstrap)
Tests for ARMA vs TARMA with both i.i.d. errors and GARCH errors.
Unit-root testing against a stationary TARMA model
Author(s)
Simone Giannerini, simone.giannerini@unibo.it
Greta Goracci, greta.goracci@unibz.it
References
-
Giannerini S, Goracci G, Rahbek A (2023). “The validity of bootstrap testing in the threshold framework.” Journal of Econometrics, in press. https://doi.org/10.1016/j.jeconom.2023.01.004.
-
Giannerini S, Goracci G, Rahbek A (2022). “The validity of bootstrap testing in the threshold framework.” doi:10.48550/ARXIV.2201.00028, https://arxiv.org/abs/2201.00028.
-
Giannerini S, Goracci G (2021). “Estimating and Forecasting with TARMA models.” University of Bologna.
-
Goracci G, Giannerini S, Chan K, Tong H (2021). “Testing for threshold effects in the TARMA framework.” University of Bologna, Free University of Bolzano, University of Iowa, London School of Economics. https://arxiv.org/abs/2103.13977.
-
Goracci G, Giannerini S, Chan K, Tong H (2023). “Testing for threshold effects in the TARMA framework.” Statistica Sinica, 33(3), 1879-1901. https://doi.org/10.5705/ss.202021.0120.
-
Chan K, Goracci G (2019). “On the Ergodicity of First-Order Threshold Autoregressive Moving-Average Processes.” J. Time Series Anal., 40(2), 256-264.
-
Chan K, Giannerini S, Goracci G, Tong H (2024). “Testing for threshold regulation in presence of measurement error.” Statistica Sinica, 34(3). https://doi.org/10.5705/ss.202022.0125.