tsDyn
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MatthieuStigler
tsDyn
Hi again Matthieu! Thanks for answering me so quickly on the mailing list! Here is the reproducible code: I'm working on an out-of-sample, rolling window & adaptive fit predictive LSTAR...
It would be great if the package included the extensions proposed by Bec, Frédérique, Othman Bouabdallah, and Laurent Ferrara. "The way out of recessions: a forecasting analysis for some Euro...
Wild bootstrap should have $\hat\epsilon_t\nu_t$ where $\hat\epsilon$ is the residuals and $\nu_t$ is randomly simulated from the chosen distribution. Right now the implementation in the package all uses $\hat\epsilon_t +...
Maybe tsDyn could provide tidy.varirf? Admittedly, it would be better though if in vars!? Here's some code: ``` r suppressPackageStartupMessages(library(vars)) suppressPackageStartupMessages(library(ggplot2)) data(Canada) var.2c
I want to estimate a TVAR model that includes an external threshold variable but the TVAR.LRtest function is only working for "1vs" but not for "2vs3". #codes examples Y
As suggested by Hadley, tsDyn should only suggest specific packages, not the whole `tidyverse`
Multiple users requested to have an external threshold in TVAR.sim. This is currently not possible, triggering message `Cannot (yet) bootstrap model with external thVar or commonInter`. I won't have time...
Many users have been inquiring about a regime-specific GIRF plot. I believe the function GIRF contains all the output to do so, but it seems to be complex enough to...
Hi, Matthieu Recently I am trying to use TVECM in my paper. When I write "nthresh=2" in Rstudio, an error happens and it is listed below. library(tsDyn) #> Registered S3...
Hello! The case is pretty simple. Say I define a simple SETAR model: `set
