oneStep

Doing one step forward within a <code>NLAR</code> model

internal

tsDyn:::oneStep.linear

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

oneStep function

<dl><dt>object</dt>
<dd>fitted &#8216;nlar&#8217; object</dd>
<dt>newdata</dt>
<dd>data from which to step forward</dd>
<dt>...</dt>
<dd>further arguments to be passed to and from other methods</dd></dl>

Arguments

Author

oneStep — oneStep

<dl>

<dt>object</dt>
<dd>fitted &#8216;nlar&#8217; object</dd>


<dt>newdata</dt>
<dd>data from which to step forward</dd>


<dt>...</dt>
<dd>further arguments to be passed to and from other methods</dd>

</dl>

oneStep: oneStep

Description

Usage

Value

Arguments

Author

Details