tarTest

Purpose

Estimates the pth order threshold autoregression model.

Format

TARout = tarTest(yt, tar0)
Parameters
  • yt (Nx1 vector) – data.

  • tar0 (struct) –

    TARControl structure containing the following elements:

    p

    scalar, Autoregressive order of the STAR model.

    omit

    scalar, Nx1 vector number of lags (below p) to omit from the matrix.

    lowerQuantile

    scalar, the lower quantile.

    upperQuantile

    scalar, the upper quantile.

    rep

    scalar, the number of simulation replications.

    printOutput

    scalar, 0 or 1, 1 prints output to the screen.

    graph

    scalar, 0 or 1, 1 turns on plotting.

    dstart

    scalar, start date of the time series in DT scalar format as used by plotTS.

    freq

    scalar, Data frequency, 12 for monthly, 4 for quarterly or 1 for annual.

Returns

TAROut (struct) –

TAROut structure containing the following return elements:

tests

vector of test statistics (in order): SupLM, ExpLM, AveLM, SupLMs, ExpLMs, AveLMs.

pvalues

vector, estimated asymptotic p-values or test statistics.

coefficients

matrix, first column contains estimated coefficients and second column contains standard errors.

regimeErrorVariance

vector, 2x1, error variance for Regime 1 and Regime 2, respectively.

thresholdLag

scalar, threshold variable lag.

thresholdValue

scalar, threshold estimate.

errorVariance

scalar, threshold model error variance.

Example

new;
cls;
library tsmt;

//Real GNP data
//Seasonally adjusted and transformed in annualized quarterly growth rates
//1947-1990
gnp = loadd( getGAUSSHome() $+ "pkgs/tsmt/examples/gnp_4790.fmt");
yg = ln(gnp[., 1]);
y = (yg[2:rows(yg)]-yg[1:rows(yg)-1])*400;

//Declare the structure
struct TARControl tar0;


//Initialize the structure
tar0 = TARControlCreate();

//Maximum number of lags considered
tar0.p = 5;

//Lags to omit from the test
omit = { 3, 4 };
tar0.omit = omit;

//Number of replications for Monte Carlo
tar0.rep = 5000;

//Data start date and frequency
tar0.dstart = 1947;
tar0.freq = 4;

//Run function
struct TAROut tarfnl;
tarfnl = tarTest( y, tar0 );

References

  1. Hansen, B.E. (1996). Inference when a nuisance parameter is nost identified under the null hypothesis, Econometrica, 64(2), 413-430.

  2. Franses, P.H. and Dijk, D. (2000) Non-linear Time Series Models in Empirical Finance. Cambridge University Press, New York.

Library

tsmt

Source

tartest.src