UsUnemp

This data, used as example in Caner and Hansen (2001), contains the montly US adult male unemployment from 1956 to 1999.

datasets

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

UsUnemp function

A monthly time series of class ts starting in January 1956 and ending in August 1999.

format

Caner and Hansen,Threshold autoregression with a unit root Econometrica, 2001, 69, 1555-1596
avalaible at: <url>http://www.ssc.wisc.edu/~bhansen/papers/cv.htm</url>

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

Description

Usage

Arguments

format

source

concept