NTS (version 1.1.3)

uTAR.sim: Generate Univariate SETAR Models

Description

Generate univariate SETAR model for up to 3 regimes.

Usage

uTAR.sim(
  nob,
  arorder,
  phi,
  d = 1,
  thr = c(0, 0),
  sigma = c(1, 1, 1),
  cnst = rep(0, 3),
  ini = 500
)

Value

uTAR.sim returns a list with components:

series

a time series following SETAR model.

at

innovation of the time seres.

arorder

AR-order for each regime.

thr

threshold value.

phi

a 3-by-p matrix. Each row contains the AR coefficients for a regime.

cnst

constant terms

sigma

standard error for each regime.

Arguments

nob

number of observations.

arorder

AR-order for each regime. The length of arorder controls the number of regimes.

phi

a 3-by-p matrix. Each row contains the AR coefficients for a regime.

d

delay for threshold variable.

thr

threshold values.

sigma

standard error for each regime.

cnst

constant terms.

ini

burn-in period.

Examples

arorder=rep(1,2)
ar.coef=matrix(c(0.7,-0.8),2,1)
y=uTAR.sim(100,arorder,ar.coef,1,0)