barry

This data set contains the series used by Bierens and Martins 
  for testing for PPI between Canada and US.

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

barry function

A data frame with 324 monthly observations,
  ranging from 1973:M1 until 1999:M12.

    <tabular>rl</tabular>{
    <code>dolcan</code> 	Exchange rate US/Can dollar. <code>cpiUSA</code> 	US Consumer Price Index. <code>cpiCAN</code> 	Canada Consumer Price Index. }

format

Bierens, H. and Martins, L. (2010), Time Varying Cointegration,

barry: Time series of PPI used as example in Bierens and Martins (2010)

Description

Usage

Arguments

format

source