backTAR

Perform back-test of a univariate SETAR model.

Simulation, estimation, prediction procedure, and model identification methods for nonlinear time series analysis, including threshold autoregressive models, Markov-switching models, convolutional functional autoregressive models, nonlinearity tests, Kalman filters and various sequential Monte Carlo methods. More examples and details about this package can be found in the book "Nonlinear Time Series Analysis" by Ruey S. Tsay and Rong Chen, John Wiley & Sons, 2018 (ISBN: 978-1-119-26407-1).

Xialu Liu

Nonlinear Time Series Analysis

Ruey Tsay

Rong Chen

backTAR function

<dl><dt>model</dt>
<dd>SETAR model.</dd>
<dt>orig</dt>
<dd>forecast origin.</dd>
<dt>h</dt>
<dd>forecast horizon.</dd>
<dt>iter</dt>
<dd>number of iterations.</dd></dl>

Arguments

Backtest for Univariate TAR Models — backTAR

<dl>

<dt>model</dt>
<dd>SETAR model.</dd>


<dt>orig</dt>
<dd>forecast origin.</dd>


<dt>h</dt>
<dd>forecast horizon.</dd>


<dt>iter</dt>
<dd>number of iterations.</dd>

</dl>

backTAR: Backtest for Univariate TAR Models

Description

Usage

Value

Arguments