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tseriesTARMA

CRAN status CRAN_download CRAN_download_total

Analysis of Nonlinear Time Series through Threshold Autoregressive Moving Average Models (TARMA) models

It provides advanced functions for:

Installation

install.packages("tseriesTARMA")

Authors

References

Angelini, F., M. Castellani, S. Giannerini, and G. Goracci. 2023. “Testing for Threshold Effects in Presence of Heteroskedasticity and Measurement Error with an Application to Italian Strikes.” University of Bologna; Free University of Bolzano. https://arxiv.org/abs/2308.00444.
Chan, K. -S., and G. Goracci. 2019. “On the Ergodicity of First-Order Threshold Autoregressive Moving-Average Processes.” J. Time Series Anal. 40 (2): 256–64.
Chan, K.-S., S. Giannerini, G. Goracci, and H. Tong. 2024. “Testing for Threshold Regulation in Presence of Measurement Error.” Statistica Sinica 34 (3): 1413–34. https://doi.org/10.5705/ss.202022.0125.
Giannerini, S., and G. Goracci. 2021. “Estimating and Forecasting with TARMA Models.” University of Bologna.
Giannerini, S., G. Goracci, and A. Rahbek. 2022. “The Validity of Bootstrap Testing in the Threshold Framework.” arXiv. https://doi.org/10.48550/ARXIV.2201.00028.
———. 2024. “The Validity of Bootstrap Testing in the Threshold Framework.” Journal of Econometrics 239 (1): 105379. https://doi.org/10.1016/j.jeconom.2023.01.004.
Goracci, G., D. Ferrari, S. Giannerini, and F. Ravazzolo. 2023. “Robust Estimation for Threshold Autoregressive Moving-Average Models.” Free University of Bolzano, University of Bologna. https://doi.org/10.48550/ARXIV.2211.08205.
———. 2025. “Robust Estimation for Threshold Autoregressive Moving-Average Models.” Journal of Business and Economic Statistics. (.): in press. https://doi.org/10.1080/07350015.2024.2412011.
Goracci, G., S. Giannerini, K.-S. Chan, and H. Tong. 2021. “Testing for Threshold Effects in the TARMA Framework.” University of Bologna, Free University of Bolzano, University of Iowa, London School of Economics. https://arxiv.org/abs/2103.13977.
———. 2023. “Testing for Threshold Effects in the TARMA Framework.” Statistica Sinica 33 (3): 1879–1901. https://doi.org/https://doi.org/10.5705/ss.202021.0120.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.