Two-regime Bounce-Back Function augmented Self-Exciting Threshold AutoRegression (SETAR) model

[p-wegmueller]

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 area countries." International Journal of Forecasting 30.3 (2014): 539-549.

The basic SETAR model is augmented to include the ‘‘U’’, ‘‘V’’ and ‘‘D’’ bounce-back functions as special cases.

[MatthieuStigler]

Hi Philipp,

Sorry I hadn't responded earlier. Note that I am not working anymore on time series, so I devote the little time I have to package/bug maintenance and don't have bandwidth to add new features I would not use myself. But thanks for the suggestion!