Hi all, I'm curious what your recommendations would be for how best to add a
covariate to a (Self-Exciting) Threshold AutoRegressive model in R. I've
looked at both the "setar" function of  the tsDyn-package and the "tar"
function of the TSA-package, none of which, with my limited experience in
running TAR models, seem to allow for covariates.

 

It seems the BAYSTAR-package is able to accommodate covariates, but I'm
hoping someone will guide me to an option more similar to the AUTOREG
procedure in SAS, which seems to have been used for covariate-incorporating
SETAR analyses in several publications.

 

Thanks in advance and happy to clarify if needed,

 

Peter

 

 

Peter Søgaard Jørgensen

PhD student

 

Center for Macroecology, Evolution and Climate

Section for Ecology and Evolution

Department of Biology

University of Copenhagen

Universitetsparken 15, Building 12

DK-2100 Copenhagen

Denmark                                      

 

 


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