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BAYSTAR (version 0.2-5)

On Bayesian analysis of Threshold autoregressive model (BAYSTAR)

Description

The manuscript introduces the BAYSTAR package, which provides the functionality for Bayesian estimation in autoregressive threshold models.

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Version

Install

install.packages('BAYSTAR')

Monthly Downloads

269

Version

0.2-5

License

GPL (>= 2)

Maintainer

Cathy S. Chen

Last Published

March 20th, 2012

Functions in BAYSTAR (0.2-5)

TAR.coeff

Estimate AR coefficients
TAR.summary

Calculate summary statistics for all parameters
TAR.sigma

To draw the variance of error distribution.
TAR.lik

Log-likelihood function
unemployrate

U.S. monthly civilian unemployment rate
TAR.lagd

Identification of lag order of threshold variable
TAR.thres

To draw a threshold value.
BAYSTAR

Threshold Autoregressive model: Bayesian approach
TAR.simu

Simulated data from TAR model