Dear Matthieu  or other friends,

 

I want to select two unknown thresholds with the following function: 

grid<- selectSETAR(x1, m=1, thDelay=0, criterion=C("AIC","SSR"),
nthresh=2)

print(grid)

plot(grid)

 

where x1 is a price time series.

 

However, it always shows the following error.

Error in selectSETAR(x1, m = 1, thDelay = 0, criterion = C("AIC",
"SSR"),  : 

  unused argument(s) (nthresh = 2)

> print(grid)

  thDelay           th mL mH       AIC

1       0  0.053602717  1  1 -592.0943

2       0  0.002724549  1  1 -591.1198

3       0 -0.047636190  1  1 -591.0673

4       0 -0.158229163  1  1 -591.0057

5       0 -0.090120583  1  1 -590.8050

6       0  0.090293645  1  1 -590.6670

7       0  0.148386470  1  1 -590.6463

 

The key problem is that I cannot get the value of SSR and select
suitable threshold values.

 

Thank you,

 

Bill


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