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] 0.2941929
#> 
#> $phi_lower
#>          X1          X2 
#>  0.06020211 -0.09797258 
#> 
#> $phi_upper
#>        X1        X2 
#>  1.290594 -1.168852 
#> 
#> $p
#> [1] 1
#> 
#> $d
#> [1] 1
#> 
#> $regime_sizes
#> lower upper 
#>    31    18 
#> 
#> $sse
#> [1] 51.12177
#> 
#> $n
#> [1] 50
#> 
#> $method
#> [1] "SETAR(p=1, d=1) via grid-search OLS"
#>