ACValues

The data is taken from Table 1 of And03tseriesTARMA, which provides asymptotic critical
values for sup Wald, LM, and LR tests for parameter instability. Critical values are given for
degrees of freedom p=1,...,20p = 1, ..., 20.
They can be used as asymptotic critical values for the following tests:<ul>
<li><code>TAR.test</code></li>
<li><code>TARMA.test</code></li>
<li><code>TARMAGARCH.test</code></li>
</ul>Provided <code>pb = 1- pa</code>.

datasets

Routines for nonlinear time series analysis based on Threshold Autoregressive Moving Average (TARMA) models. It provides functions and methods for: TARMA model fitting and forecasting, including robust estimators, see Goracci et al. JBES (2025) <doi:10.1080/07350015.2024.2412011>; tests for threshold effects, see Giannerini et al. JoE (2024) <doi:10.1016/j.jeconom.2023.01.004>, Goracci et al. Statistica Sinica (2023) <doi:10.5705/ss.202021.0120>, Angelini et al. (2024) <doi:10.48550/arXiv.2308.00444>; unit-root tests based on TARMA models, see Chan et al. Statistica Sinica (2024) <doi:10.5705/ss.202022.0125>.

Simone Giannerini

tseriesTARMA

Analysis of Nonlinear Time Series Through Threshold
Autoregressive Moving Average Models (TARMA) Models

Greta Goracci

ACValues function

<div class="section" id="acvalues">
<h3><code>ACValues</code></h3>
A matrix with 13 rows and 62 columns. The first two columns contain the parameters, whereas
the remaining 60 columns contain 3 critical values (at level 10%, 5%, and 1%) for each value of the
parameter pp:<dl>
<dt><code>pi</code></dt>
<dd>_0[0] in the paper, corresponds to <code>pa</code>.</dd><dt><code>lambda</code></dt>
<dd>in the paper, not relevant here.</dd><dt><code>1-90</code></dt>
<dd>p=1p=1, critical level 10%.</dd><dt><code>1-95</code></dt>
<dd>p=1p=1, critical level 5%.</dd><dt><code>1-99</code></dt>
<dd>p=1p=1, critical level 1%.</dd>...
<dt><code>20-90</code></dt>
<dd>p=20p=20, critical level 10%.</dd><dt><code>20-95</code></dt>
<dd>p=20p=20, critical level 5%.</dd><dt><code>20-99</code></dt>
<dd>p=20p=20, critical level 1%.</dd>
</dl>Note that pp are the degrees of freedom and correspond to the total number of tested parameter
in the above tests.
</div>

Format

The data is taken from Table 1 of And03tseriesTARMA, which provides asymptotic critical
values for sup Wald, LM, and LR tests for parameter instability. Critical values are given for
degrees of freedom p=1,...,20p = 1, ..., 20.
They can be used as asymptotic critical values for the following tests:<ul>
<li><code>TAR.test</code></li>
<li><code>TARMA.test</code></li>
<li><code>TARMAGARCH.test</code></li>
</ul>

Provided <code>pb = 1- pa</code>.

Andrews Tabulated Critical Values — ACValues

<div class='section' id='acvalues'>
<h3><code>ACValues</code></h3>


A matrix with 13 rows and 62 columns. The first two columns contain the parameters, whereas
the remaining 60 columns contain 3 critical values (at level 10%, 5%, and 1%) for each value of the
parameter pp:<dl>
<dt><code>pi</code></dt>
<dd>_0[0] in the paper, corresponds to <code>pa</code>.</dd>

<dt><code>lambda</code></dt>
<dd>in the paper, not relevant here.</dd>

<dt><code>1-90</code></dt>
<dd>p=1p=1, critical level 10%.</dd>

<dt><code>1-95</code></dt>
<dd>p=1p=1, critical level 5%.</dd>

<dt><code>1-99</code></dt>
<dd>p=1p=1, critical level 1%.</dd>

...
<dt><code>20-90</code></dt>
<dd>p=20p=20, critical level 10%.</dd>

<dt><code>20-95</code></dt>
<dd>p=20p=20, critical level 5%.</dd>

<dt><code>20-99</code></dt>
<dd>p=20p=20, critical level 1%.</dd>


</dl>Note that pp are the degrees of freedom and correspond to the total number of tested parameter
in the above tests.
</div>

ACValues: Andrews Tabulated Critical Values

Description

Usage

Arguments

Format

`ACValues`