UsUnemp

<p>This data, used as example in <cite>Caner and Hansen (2001)</cite>, contains the monthly US adult male unemployment from 1956 to 1999.</p>

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 three 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

Antonio Fabio Di Narzo

Jose Luis Aznarte

UsUnemp function

<p>A monthly time series of class <code>ts</code> starting in January 1956 and ending in August 1999.</p>

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

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