Hi

1 I was working on it and implemented two days before! It will be soon
commited (problem with svn) to development version of package tsDyn, that
you will need to compile yourself. Can otherwise send you just the file.
If you are working with TAR models, you may want to see the other features
of the package:
http://code.google.com/p/tsdyn/wiki/ThresholdCointegration?ts=1235109349&updated=ThresholdCointegration

2 I used the recresid() function from package strucchange version 1.3.7,
which was kindly modified by Achim Zeileis in order to use it for Tsay test.


Mat

2009/2/20 Andreas Klein <klein82517@yahoo.de>

> 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.
>
> Regards,
> Andreas.
>
>
>
>
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