Package: NonlinearTSA 0.5.0

Burak Guris

NonlinearTSA: Nonlinear Time Series Analysis

Function and data sets in the book entitled "Nonlinear Time Series Analysis with R Applications" B.Guris (2020). The book will be published in Turkish and the original name of this book will be "R Uygulamali Dogrusal Olmayan Zaman Serileri Analizi". It is possible to perform nonlinearity tests, nonlinear unit root tests, nonlinear cointegration tests and estimate nonlinear error correction models by using the functions written in this package. The Momentum Threshold Autoregressive (MTAR), the Smooth Threshold Autoregressive (STAR) and the Self Exciting Threshold Autoregressive (SETAR) type unit root tests can be performed using the functions written. In addition, cointegration tests using the Momentum Threshold Autoregressive (MTAR), the Smooth Threshold Autoregressive (STAR) and the Self Exciting Threshold Autoregressive (SETAR) models can be applied. It is possible to estimate nonlinear error correction models. The Granger causality test performed using nonlinear models can also be applied.

Authors:Burak Guris <[email protected]>

NonlinearTSA_0.5.0.tar.gz
NonlinearTSA_0.5.0.tar.gz(r-4.5-noble)NonlinearTSA_0.5.0.tar.gz(r-4.4-noble)
NonlinearTSA_0.5.0.tgz(r-4.4-emscripten)NonlinearTSA_0.5.0.tgz(r-4.3-emscripten)
NonlinearTSA.pdf |NonlinearTSA.html✨
NonlinearTSA/json (API)

# Install 'NonlinearTSA' in R:
install.packages('NonlinearTSA', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.30 score 2 stars 213 downloads 23 exports 85 dependencies

Last updated 4 years agofrom:8fa55067e9. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 11 2024
R-4.5-linuxOKDec 11 2024

Exports:ARCH.TestCook_Vougas_2009_unit_rootCuestas_Garratt_unit_rootCuestas_Ordonez_2014_unit_rootEnders_Granger_1998Enders_Siklos_2001ESTAR_ECMHarvey_Mills_2002_unit_rootHu_Chen_Unit_RootKilic_2011_unit_rootKruse_Unit_RootKSS_2006_CointegrationKSS_Unit_RootLNV_1998_unit_rootMc.Leod.LiMTAR_ECMPark_Shintani_2016_unit_rootPascalau_2007_unit_rootSETAR_modelSollis_2004_unit_rootSollis2009_Unit_RootTerasvirta1994testVougas_2006_unit_root

Dependencies:abindbackportsbootbroomcarcarDataclicodetoolscolorspacecowplotcpp11curlDerivdeSolvedoBydplyrfansifarverforeachforecastFormulafracdiffgenericsggplot2gluegtableisobanditeratorsjsonlitelabelinglatticelifecyclelme4lmtestmagrittrMASSMatrixMatrixModelsmgcvmicrobenchmarkminpack.lmminqamnormtmodelrmunsellnlmenloptrnnetnumDerivpbkrtestpillarpkgconfigpurrrquadprogquantmodquantregR6RColorBrewerRcppRcppArmadilloRcppEigenrlangsandwichscalesSparseMstringistringrstrucchangesurvivaltibbletidyrtidyselecttimeDatetsDyntseriestseriesChaosTTRurcautf8varsvctrsviridisLitewithrxtszoo

Readme and manuals

Help Manual

Help pageTopics
ARCH Test for time seriesARCH.Test
Cook and Vougas(2009) nonlinear unit root test functionCook_Vougas_2009_unit_root
Cuestas and Garratt(2011) nonlinear unit root test functionCuestas_Garratt_unit_root
Cuestas and Ordonez(2014) nonlinear unit root test functionCuestas_Ordonez_2014_unit_root
Enders and Granger_1998 nonlinear unit root test functionEnders_Granger_1998
Enders and Siklos(2001) Nonlinear Cointegration Test FunctionEnders_Siklos_2001
STAR Vector Error Correction ModelESTAR_ECM
Harvey and Mills(2002) nonlinear unit root test functionHarvey_Mills_2002_unit_root
Hu and Chen(2016) nonlinear unit root test functionHu_Chen_Unit_Root
IBMIBM
Kilic(2011) nonlinear unit root test functionKilic_2011_unit_root
Kruse(2011) nonlinear unit root test functionKruse_Unit_Root
Kapetanios, Shin and Snell(2006) nonlinear cointegration test functionKSS_2006_Cointegration
Kapetanios, Shin and Snell(2003) nonlinear unit root test functionKSS_Unit_Root
Leybourne Newbold and Vougas (1998) nonlinear unit root test functionLNV_1998_unit_root
MarketPricesMarketPrices
Mc.Leod.Li nonlinearity testMc.Leod.Li
MTAR Vector Error Correction ModelMTAR_ECM
Park and Shintani(2012) nonlinear unit root test functionPark_Shintani_2016_unit_root
Pascalau(2007) nonlinear unit root test functionPascalau_2007_unit_root
SETAR model estimationSETAR_model
Sollis(2004) nonlinear unit root test functionSollis_2004_unit_root
Sollis(2009) nonlinear unit root test functionSollis2009_Unit_Root
Terasvirta (1994) nonlinearity testTerasvirta1994test
Vougas(2006) nonlinear unit root test functionVougas_2006_unit_root