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NonlinearTSA (version 0.5.0)

Nonlinear Time Series Analysis

Description

Function and data sets in the book entitled "Nonlinear Time Series Analysis with R Applications" B.Guris (2020). The book will be published in Turkish and the original name of this book will be "R Uygulamali Dogrusal Olmayan Zaman Serileri Analizi". It is possible to perform nonlinearity tests, nonlinear unit root tests, nonlinear cointegration tests and estimate nonlinear error correction models by using the functions written in this package. The Momentum Threshold Autoregressive (MTAR), the Smooth Threshold Autoregressive (STAR) and the Self Exciting Threshold Autoregressive (SETAR) type unit root tests can be performed using the functions written. In addition, cointegration tests using the Momentum Threshold Autoregressive (MTAR), the Smooth Threshold Autoregressive (STAR) and the Self Exciting Threshold Autoregressive (SETAR) models can be applied. It is possible to estimate nonlinear error correction models. The Granger causality test performed using nonlinear models can also be applied.

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Version

Install

install.packages('NonlinearTSA')

Monthly Downloads

191

Version

0.5.0

License

GPL (>= 2)

Maintainer

Burak Guris

Last Published

January 23rd, 2021

Functions in NonlinearTSA (0.5.0)

Pascalau_2007_unit_root

Pascalau(2007) nonlinear unit root test function
ESTAR_ECM

STAR Vector Error Correction Model
Park_Shintani_2016_unit_root

Park and Shintani(2012) nonlinear unit root test function
Cook_Vougas_2009_unit_root

Cook and Vougas(2009) nonlinear unit root test function
MarketPrices

MarketPrices
ARCH.Test

ARCH Test for time series
Kilic_2011_unit_root

Kilic(2011) nonlinear unit root test function
Mc.Leod.Li

Mc.Leod.Li nonlinearity test
Sollis_2004_unit_root

Sollis(2004) nonlinear unit root test function
Kruse_Unit_Root

Kruse(2011) nonlinear unit root test function
Enders_Siklos_2001

Enders and Siklos(2001) Nonlinear Cointegration Test Function
Terasvirta1994test

Terasvirta (1994) nonlinearity test
LNV_1998_unit_root

Leybourne Newbold and Vougas (1998) nonlinear unit root test function
Harvey_Mills_2002_unit_root

Harvey and Mills(2002) nonlinear unit root test function
Vougas_2006_unit_root

Vougas(2006) nonlinear unit root test function
Enders_Granger_1998

Enders and Granger_1998 nonlinear unit root test function
KSS_Unit_Root

Kapetanios, Shin and Snell(2003) nonlinear unit root test function
SETAR_model

SETAR model estimation
Sollis2009_Unit_Root

Sollis(2009) nonlinear unit root test function
KSS_2006_Cointegration

Kapetanios, Shin and Snell(2006) nonlinear cointegration test function
MTAR_ECM

MTAR Vector Error Correction Model
IBM

IBM
Hu_Chen_Unit_Root

Hu and Chen(2016) nonlinear unit root test function
Cuestas_Ordonez_2014_unit_root

Cuestas and Ordonez(2014) nonlinear unit root test function
Cuestas_Garratt_unit_root

Cuestas and Garratt(2011) nonlinear unit root test function