mse.default

Generic function to compute the Mean Squared Error of a fitted model.

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

mse function

<dl><dt>object</dt>
<dd>object of class <code>nlar.fit</code></dd>
<dt>...</dt>
<dd>additional arguments to <code>mse</code></dd></dl>

Arguments

Author

Mean Square Error — mse

<dl>

<dt>object</dt>
<dd>object of class <code>nlar.fit</code></dd>


<dt>...</dt>
<dd>additional arguments to <code>mse</code></dd>

</dl>

mse: Mean Square Error

Description

Usage

Value

Arguments

Author