barry

<p>This data set contains the series used by <cite>Bierens and Martins</cite>
  for testing for PPI between Canada and US.</p>

datasets

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 dynamics is available when the transition is either direct (TAR: threshold AR) or smooth (STAR: smooth transition AR, LSTAR). For multivariate series, one can estimate a range of TVAR or threshold cointegration TVECM models with two or three regimes. Tests can be conducted for TVAR as well as for TVECM (Hansen and Seo 2002 and Seo 2006).

Matthieu Stigler

tsDyn

Nonlinear Time Series Models with Regime Switching

Antonio Fabio Di Narzo

Jose Luis Aznarte

barry function

<p>A data frame with 324 monthly observations,
  ranging from 1973:M1 until 1999:M12.</p>
<p></p><table><tr><td>
    <code>dolcan</code> </td>
<td> Exchange rate US/Can dollar. </td>
</tr><tr><td>
    <code>cpiUSA</code> </td>
<td> US Consumer Price Index. </td>
</tr><tr><td>
    <code>cpiCAN</code> </td>
<td> Canada Consumer Price Index. </td>
</tr></table>

Get 50% off unlimited learning

barry: Time series of PPI used as example in Bierens and Martins (2010)

Description

Usage

Arguments

Format

`dolcan`	Exchange rate US/Can dollar.
`cpiUSA`	US Consumer Price Index.
`cpiCAN`	Canada Consumer Price Index.