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tsDyn

Nonlinear Time Series Models with Regime Switching

v11.0.5.2 · Oct 31, 2024 · GPL (>= 2)

Description

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).

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CRAN Check Status

1 NOTE
13 OK
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Flavor Status
r-devel-linux-x86_64-debian-clang OK
r-devel-linux-x86_64-debian-gcc OK
r-devel-linux-x86_64-fedora-clang OK
r-devel-linux-x86_64-fedora-gcc OK
r-devel-macos-arm64 NOTE
r-devel-windows-x86_64 OK
r-oldrel-macos-arm64 OK
r-oldrel-macos-x86_64 OK
r-oldrel-windows-x86_64 OK
r-patched-linux-x86_64 OK
r-release-linux-x86_64 OK
r-release-macos-arm64 OK
r-release-macos-x86_64 OK
r-release-windows-x86_64 OK
Check details (14 non-OK)
OK r-devel-linux-x86_64-debian-clang

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OK r-devel-linux-x86_64-debian-gcc

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OK r-devel-linux-x86_64-fedora-clang

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OK r-devel-linux-x86_64-fedora-gcc

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NOTE r-devel-macos-arm64

tests

  Running ‘00SetarAndFriends.R’ [1s/1s]
  Comparing ‘00SetarAndFriends.Rout’ to ‘00SetarAndFriends.Rout.save’ ... OK
  Running ‘GIRF_TEST.R’ [4s/4s]
  Comparing ‘GIRF_TEST.Rout’ to ‘GIRF_TEST.Rout.save’ ... OK
  Running ‘TVAR_TEST.R’ [3s/3s]
  Comparing ‘TVAR_TEST.Rout’ to ‘TVAR_TEST.Rout.save’ ... OK
  Running ‘TVECM.sim.R’ [1s/1s]
  Comparing ‘TVECM.sim.Rout’ to ‘TVECM.sim.Rout.save’ ... OK
  Running ‘TVECM_HSTEST.R’ [1s/1s]
  Comparing ‘TVECM_HSTEST.Rout’ to ‘TVECM_HSTEST.Rout.save’ ... OK
  Running ‘VAR_TEST.R’ [1s/1s]
  Comparing ‘VAR_TEST.Rout’ to ‘VAR_TEST.Rout.save’ ... OK
  Running ‘VECM_TEST.R’ [2s/2s]
  Comparing ‘VECM_TEST.Rout’ to ‘VECM_TEST.Rout.save’ ... OK
  Running ‘compare_tsDyn_vars.R’ [1s/1s]
  Comparing ‘compare_tsDyn_vars.Rout’ to ‘compare_tsDyn_vars.Rout.save’ ...122c122
< [4,] "Component \"U\": Mean relative difference: 0.03872392"   
---
> [4,] "Component \"U\": Mean relative difference: 0.03872391"   
  Running ‘irf_nlVAR_TEST.R’ [7s/7s]
  Comparing ‘irf_nlVAR_TEST.Rout’ to ‘irf_nlVAR_TEST.Rout.save’ ... OK
  Running ‘irf_nlar_TEST.R’ [3s/3s]
  Comparing ‘irf_nlar_TEST.Rout’ to ‘irf_nlar_TEST.Rout.save’ ... OK
  Running ‘linear_TEST.R’ [1s/1s]
  Comparing ‘linear_TEST.Rout’ to ‘linear_TEST.Rout.save’ ... OK
  Running ‘lstar_TEST.R’ [2s/2s]
  Running ‘nlar-methods_TEST.R’ [4s/4s]
  Comparing ‘nlar-methods_TEST.Rout’ to ‘nlar-methods_TEST.Rout.save’ ... OK
  Running ‘regime.R’ [1s/1s]
  Comparing ‘regime.Rout’ to ‘regime.Rout.save’ ... OK
  Running ‘setar.sim_TEST.R’ [1s/1s]
  Comparing ‘setar.sim_TEST.Rout’ to ‘setar.sim_TEST.Rout.save’ ... OK
  Running ‘setarTest_test.R’ [2s/2s]
  Comparing ‘setarTest_test.Rout’ to ‘setarTest_test.Rout.save’ ... OK
  Running ‘testthat.R’ [6s/6s]
  Running ‘toMlm.R’ [1s/1s]
  Comparing ‘toMlm.Rout’ to ‘toMlm.Rout.save’ ... OK
  Running ‘univ_ar_mean.R’ [1s/1s]
  Comparing ‘univ_ar_mean.Rout’ to ‘univ_ar_mean.Rout.save’ ... OK
OK r-devel-windows-x86_64

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OK r-oldrel-macos-arm64

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OK r-oldrel-macos-x86_64

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OK r-oldrel-windows-x86_64

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OK r-patched-linux-x86_64

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OK r-release-linux-x86_64

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OK r-release-macos-arm64

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OK r-release-macos-x86_64

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OK r-release-windows-x86_64

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Check History

NOTE 13 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
NOTE r-devel-macos-arm64

tests

  Running ‘00SetarAndFriends.R’ [1s/1s]
  Comparing ‘00SetarAndFriends.Rout’ to ‘00SetarAndFriends.Rout.save’ ... OK
  Running ‘GIRF_TEST.R’ [4s/4s]
  Comparing ‘GIRF_TEST.Rout’ to ‘GIRF_TEST.Rout.save’ ... OK
  Running ‘TVAR_TEST.R’ [3s/3s]
  Comparing ‘TVAR_TEST.Rout’ to ‘TVAR_TEST.Rout.save’ ... OK
  Running ‘TVECM.sim.R’ [1s/1s]
  Comparing ‘TVECM.sim.Rout’ to ‘TVECM.sim.Rout.save’ ... OK
  Running ‘TVECM_HSTEST.R’ [1s/1s]
  Comparing ‘TVECM_HSTEST.Rout’ to ‘TVECM_HSTEST.Rout.save’ ... OK
  

Reverse Dependencies (7)

depends

suggests

Dependency Network

Dependencies Reverse dependencies mnormt mgcv nnet tseriesChaos tseries vars urca forecast MASS Matrix foreach generics dvqcc GVARX NonlinearTSA combcoint bivarhr mFilter svars tsDyn

Version History

new 11.0.5.2 Mar 9, 2026