Nonlinear time series models with regime switching
Description
Implements nonlinear autoregressive (AR) time series
models. For univariate series, a non-parametric approach is
available through additive nonlinear AR. Parametric modeling
and testing for regime switching dynamicsis available when the
transition is either direct (TAR: threshold AR) or smooth
(STAR: smooth transition AR, LSTAR). For multivariate series,
estimation and testing of threshold cointegration TVAR/TVECM
models can be done.