To cite package 'tsDyn' in publications use:

  Stigler M (2019). “Nonlinear time series in R: Threshold
  cointegration with tsDyn.” In Vinod HD, Rao C (eds.), _Handbook of
  Statistics, Volume 41_, volume 42, 229-264. Elsevier.
  doi:10.1016/bs.host.2019.01.008
  <https://doi.org/10.1016/bs.host.2019.01.008>.

A BibTeX entry for LaTeX users is

  @InCollection{,
    title = {Nonlinear time series in R: Threshold cointegration with tsDyn},
    author = {Matthieu Stigler},
    volume = {42},
    pages = {229-264},
    year = {2019},
    editor = {Hrishikesh D. Vinod and C.R. Rao},
    publisher = {Elsevier},
    booktitle = {Handbook of Statistics, Volume 41},
    issn = {0169-7161},
    doi = {10.1016/bs.host.2019.01.008},
  }

  Fabio Di Narzo A, Aznarte J, Stigler M (2009). _tsDyn: Time series
  analysis based on dynamical systems theory_. R package version 0.7.

A BibTeX entry for LaTeX users is

  @Manual{,
    title = {tsDyn: Time series analysis based on dynamical systems theory},
    author = {Antonio {Fabio Di Narzo} and Jose Luis Aznarte and Matthieu Stigler},
    year = {2009},
    note = {R package version 0.7},
  }