hystar (version 1.0.0)

Fit the Hysteretic Threshold Autoregressive Model

Description

Estimate parameters of the hysteretic threshold autoregressive (HysTAR) model, using conditional least squares. In addition, you can generate time series data from the HysTAR model. For details, see Li, Guan, Li and Yu (2015) .

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Install

install.packages('hystar')

Monthly Downloads

156

Version

1.0.0

License

MIT + file LICENSE

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Repository

https://github.com/daandejongen/hystar/

Maintainer

Daan de Jong

Last Published

July 5th, 2023

Functions in hystar (1.0.0)

hystar-package

hystar: Fit the Hysteretic Threshold Autoregressive Model

hystar_fit

Estimate the HysTAR model using conditional least squares estimation

z_sim

Simulate the threshold/control variable Z

hystar_sim

Simulate data from the HysTAR model