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Matthieu Stigler edited this page Apr 2, 2015 · 8 revisions

Package tsDyn: Wiki

Questions? Look at the small FAQ page or on the archive of the Mailing list, where you can also ask directly.

tsDyn is a R package for modelling non-linear time series. It features following models:

Univariate models:

  • AR: standard linear AR (auto-regressive)
  • SETAR: self-exciting threshold AR
  • LSTAR: Logistic smooth transition AR
  • NNET: neural-network
  • AAR: additive AR

Bi/multivariate models:

  • Linear VAR and VECM
  • Threshold VAR (TVAR) and VECM (TVECM), with threshold cointegration (bi-variate systems only)

Non-linearity tests:

Source code

The code is hosted on Matthieu's github, see https://github.com/MatthieuStigler/tsDyn/. And some cases, you will be interested in the development version, which is hosted under the branch Dev94: https://github.com/MatthieuStigler/tsDyn/tree/Dev94. To install from Dev94, do (will need to install Rtools on Windows):

library(devtools)
install_github("MatthieuStigler/tsDyn", ref="Dev94", subdir="tsDyn")  
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