tseriesTARMA
Analysis of Nonlinear Time Series through Threshold Autoregressive Moving Average Models (TARMA) models
It provides advanced functions for:
- TARMA model fitting and forecasting:
- Least Squares fitting of a full subset TARMA model, including robust fitting based on M-estimators.
- Maximum Likelihood fitting of a subset TARMA model with common MA parts and possible covariates.
- TARMA testing for threshold type nonlinearity:
- Tests for AR vs TAR (asymptotic, bootstrap, wild bootstrap)
- Tests for ARMA vs TARMA with both i.i.d. errors and GARCH errors.
- Unit-root testing against a stationary TARMA model
Installation
install.packages("tseriesTARMA")Authors
References
- Goracci et al. (2025)
- Angelini et al. (2023)
- Giannerini, Goracci, and Rahbek (2024)
- Goracci, Ferrari, et al. (2023)
- Giannerini, Goracci, and Rahbek (2022)
- Giannerini and Goracci (2021)
- Goracci et al. (2021)
- Goracci, Giannerini, et al. (2023)
- K.-S. Chan and Goracci (2019)
- K.-S. Chan et al. (2024)
Angelini, F., M. Castellani, S. Giannerini, and G. Goracci. 2023. “Testing for Threshold Effects in Presence of Heteroskedasticity and Measurement Error with an Application to Italian Strikes.” University of Bologna; Free University of Bolzano. https://arxiv.org/abs/2308.00444.
Chan, K. -S., and G. Goracci. 2019. “On the Ergodicity of First-Order Threshold Autoregressive Moving-Average Processes.” J. Time Series Anal. 40 (2): 256–64.
Chan, K.-S., S. Giannerini, G. Goracci, and H. Tong. 2024. “Testing for Threshold Regulation in Presence of Measurement Error.” Statistica Sinica 34 (3): 1413–34. https://doi.org/10.5705/ss.202022.0125.
Giannerini, S., and G. Goracci. 2021. “Estimating and Forecasting with TARMA Models.” University of Bologna.
Giannerini, S., G. Goracci, and A. Rahbek. 2022. “The Validity of Bootstrap Testing in the Threshold Framework.” arXiv. https://doi.org/10.48550/ARXIV.2201.00028.
———. 2024. “The Validity of Bootstrap Testing in the Threshold Framework.” Journal of Econometrics 239 (1): 105379. https://doi.org/10.1016/j.jeconom.2023.01.004.
Goracci, G., D. Ferrari, S. Giannerini, and F. Ravazzolo. 2023. “Robust Estimation for Threshold Autoregressive Moving-Average Models.” Free University of Bolzano, University of Bologna. https://doi.org/10.48550/ARXIV.2211.08205.
———. 2025. “Robust Estimation for Threshold Autoregressive Moving-Average Models.” Journal of Business and Economic Statistics. (.): in press. https://doi.org/10.1080/07350015.2024.2412011.
Goracci, G., S. Giannerini, K.-S. Chan, and H. Tong. 2021. “Testing for Threshold Effects in the TARMA Framework.” University of Bologna, Free University of Bolzano, University of Iowa, London School of Economics. https://arxiv.org/abs/2103.13977.
———. 2023. “Testing for Threshold Effects in the TARMA Framework.” Statistica Sinica 33 (3): 1879–1901. https://doi.org/https://doi.org/10.5705/ss.202021.0120.