[R-SIG-Finance] threshold autoregression

Sylvain BARTHELEMY barth at tac-financial.com
Wed Jan 23 17:32:50 CET 2008


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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