Two-regime self-exciting threshold autoregressive (SETAR) model

Two-regime self-exciting threshold autoregressive (SETAR) model

Usage

morie_threshold_autoregression(x, p = 1, d = 1, n_grid = 50)

Arguments

x

Numeric univariate series.

p

AR order in each regime. Default 1.

d

Delay parameter for the threshold variable. Default 1.

n_grid

Grid size for threshold search. Default 50.

Value

Named list with threshold, phi_lower, phi_upper, p, d, regime_sizes, sse, n, method.

Examples

morie_threshold_autoregression(x = rnorm(50))
#> $threshold
#> [1] -0.3916136
#> 
#> $phi_lower
#>         X1         X2 
#> -0.8811976 -0.5616111 
#> 
#> $phi_upper
#>         X1         X2 
#> 0.06261342 0.08019545 
#> 
#> $p
#> [1] 1
#> 
#> $d
#> [1] 1
#> 
#> $regime_sizes
#> lower upper 
#>    17    32 
#> 
#> $sse
#> [1] 45.04118
#> 
#> $n
#> [1] 50
#> 
#> $method
#> [1] "SETAR(p=1, d=1) via grid-search OLS"
#>