autotriples.rgl

Interactive trivariate time series plots

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

autotriples.rgl function

<dl><dt>x</dt>
<dd>time series</dd>
<dt>lags</dt>
<dd>vector of regressors lags</dd>
<dt>type</dt>
<dd>type of plot: contour levels, perspective plots, image</dd></dl>

Arguments

Wrapper to 'sm' and GUI by Antonio, Fabio Di Narzo

Author

Interactive trivariate time series plots — autotriples.rgl

<dl>

<dt>x</dt>
<dd>time series</dd>


<dt>lags</dt>
<dd>vector of regressors lags</dd>


<dt>type</dt>
<dd>type of plot: contour levels, perspective plots, image</dd>

</dl>

autotriples.rgl: Interactive trivariate time series plots

Description

Usage

Value

Arguments

Author

Details

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Examples