[R] TAR Models and predictive residuals

Andreas Klein klein82517 at yahoo.de
Thu Feb 19 19:12:05 CET 2009

Hello R users.

There is a paper from Ruey Tsay with the title: "Testing and Modelling Threshold Autoregressive Processes", published in 1989 in the Journal of the American Statistical Association (March, Vol. 84, No. 405).

Mr. Tsay describes a very interesting way of identifying and modelling threshold AR processes.

1. Is there a package in R or some routines, which implements his ideas and his methodology?

2. Is there a routine in R to calculate the predictive residuals (like defined in the paper)?

Thanks in advance.


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