[R-SIG-Finance] threshold autoregression

[Sylvain BARTHELEMY]

Hi Alex,

If you want to play with SETAR and more generally with Markov switching
models, my view is that you should use another software than R. 

There is a great pack written by Hanz Martin Krozlig. But as soon as I know,
it only works on Ox and it has not been ported to R. I think that it would
be a great idea to rewrite the pack for R. I initially planned to do one,
but it takes time...

There is also a pack written by Franck Arnaud, that was written for R and is
available here: http://arnaud.ensae.net/Rressources/Rressources.html
But it seems to be a beta version and less powerful than the Krozlig one.

Regards

---
Sylvain Barthélémy
Research Director, TAC
www.tac-financial.com | www.sylbarth.com


-----Message d'origine-----
De : r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] De la part de Alexander
Moreno
Envoyé : dimanche 20 janvier 2008 23:47
À : r-sig-finance at stat.math.ethz.ch
Objet : [R-SIG-Finance] threshold autoregression

Hi,

Does anyone know of anyone packages to fit tar and setar time series models?

Thanks,
Alex

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