Hi

I send this package annoucement also to the finance mailing list, in case
where people did not subscribe to the pkg mailing list (sorry for the others
for this double-posting), as the package includes functionalitites that can
be (and have been) used for diverse financial and time series applications.


Hi
>
> Version 0.7 of package tsDyn presented at useR! 2009  is now on CRAN,
> extended with several new features.
>
> The package tsDyn is aimed at estimating nonlinear time series models which
> exhibit regime specific properties. The regime switching dynamics can either
> be described by smooth transition (STAR and LSTAR) or threshold effects
> (SETAR). The package furthermore offers nonlinear models such as neural
> networks (NNET), and additive autoregressive (AAR) models.
>
> The version 0.7 enhances the functionalities for the threshold
> autoregression models (SETAR) by extending the estimation techniques,
> providing a complete testing framework and finally allowing its use in a
> multivariate framework (generalizing VAR and VECM models).
>
> Those new features are particularly interesting in economic applications as
> they generalize the concept of cointegration: with threshold cointegration,
> variables are still meant to share a long-run relationship, but their
> adjustment need not occur instantaneously but only after the deviation
> exceeds some critical threshold. This allows the model to take into account
> possible effects of transaction costs or stickiness of prices. Further, it
> permits us to capture asymmetries in the adjustment process, where positive
> or negative deviations are not corrected to the same extent.
>
> A second vignette available at
> http://code.google.com/p/tsdyn/wiki/ThresholdCointegration offers an
> overview of the threshold cointegration framework and describes the
> implemented functions. It can serve as an ideal introduction for people
> interested in discovering this field.
>
>
> Main new features include:
> -added possibilty to have two thresolds and hence three regimes in setar
> and selectSETAR (arg nthresh)
> -new functions for unit roots tests: KapShinTest() and BBCTest()
> -new functions for estimating VAR and VECM: lineVar
> -new function for estimating TVECM: function TVECM()
> -new function for estimating TVAR: function TVAR()
> -new function to test for setar: function setarTest()
> -new function to test for TVAR: function TVAR.LRtest()
> -new function to test for TVECM: functions TVECM.SeoTest() and
> HanSeo_TVECM()
> -new function to simulate/bootstrap a TVAR: function TVAR.sim()
> -new function to simulate/bootstrap a TVECM: function TVECM.sim()
> -new function to simulate/bootstrap a setar: function setar.sim()
> -new function to estimate regime-specific variance in setar: function
> resVar()
> -new function to extend a bootstrap replication in setarTest: function
> extendBoot()
> -added in selectSETAR() and setar() following args: include, common, model,
> trim, MM, ML, MH, model, restriction
> -added in selectSETAR(): criterion "SSR" (sum of squares residual) and
> argument max.iter
> -extended arg th in selectSETAR to search inside an intervall or around a
> point or on the whole grid
>
> Note that minor fixes/improvements are expected soon, those will be only
> reported in the specific mailing list:  tsdyn@googlegroups.com
>
> Any comments/remarks, suggestions and bug reports are sure welcome!
>
> Matthieu Stigler
>

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