BAYSTAR (version 0.2-10)

TAR.lik: Log-likelihood function

Description

To calculate the model log-likelihood function.

Usage

TAR.lik(ay, p1, p2, ph.1, ph.2, sig.1, sig.2, 
        lagd, thres, lagp1, lagp2, constant = 1, thresVar)

Arguments

ay

The real data set. (input)

p1

Number of AR coefficients in regime one.

p2

Number of AR coefficients in regime two.

ph.1

The vector of AR parameters in regime one.

ph.2

The vector of AR parameters in regime two.

sig.1

The error terms of AR model in the regime one.

sig.2

The error terms of AR model in the regime two.

lagd

The delay lag parameter.

thres

The threshold parameter.

lagp1

The vector of non-zero autoregressive lags for the lower regime. (regime one); e.g. An AR model with p1=3, it could be non-zero lags 1,3, and 5 would set lagp1<-c(1,3,5).

lagp2

The vector of non-zero autoregressive lags for the upper regime. (regime two)

constant

Use the CONSTANT option to fit a model with/without a constant term (1/0). By default CONSTANT=1.

thresVar

Exogenous threshold variable. (if missing, the series x is used)