delta

delta.test

delta statistic of conditional indipendence and associated bootstrap test

Implements nonlinear autoregressive (AR) time series
        models. For univariate series, a non-parametric approach is
        available through additive nonlinear AR. Parametric modeling
        and testing for regime switching dynamics is available when the
        transition is either direct (TAR: threshold AR) or smooth
        (STAR: smooth transition AR, LSTAR). For multivariate series,
        one can estimate a range of TVAR or threshold cointegration
        TVECM models with two or two regimes. Tests can be conducted
        for TVAR as well as for TVECM (Hansen and Seo 2002 and Seo
        2006).

Matthieu Stigler

tsDyn

Nonlinear time series models with regime switching

delta function

Results are sensible to the choice of the window <code>eps</code>. So, try the test for a grid of <code>m</code> and <code>eps</code> values. Also, be aware of the course of dimensionality: m can't be too high for relatively small time series. See references for further details.

delta: delta test of conditional indipendence

Description

Usage

Arguments

Value

Warning

Details

References

See Also

Examples