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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| 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
*
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
*
OK
r-oldrel-macos-arm64
*
OK
r-oldrel-macos-x86_64
*
OK
r-oldrel-windows-x86_64
*
OK
r-patched-linux-x86_64
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OK
r-release-linux-x86_64
*
OK
r-release-macos-arm64
*
OK
r-release-macos-x86_64
*
OK
r-release-windows-x86_64
*
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
imports
Dependency Network
Version History
new
11.0.5.2
Mar 9, 2026