[R] STAR models estimation with R

[KAHRA HANNU]

It is likely that here STAR means the Smooth Transition Autoregressive model which generalizes the Threshold Autoregressive (TAR) model to allow for gradual switching between regimes.

The model can be estimated in R by applying maximum likelihood (ML) estimation or Monte Carlo Markov Chain (MCMC) estimation. Use Google to find related papers.

Regards,
Hannu Kahra

-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Phineas Campbell
Sent: 28. kesäkuuta 2005 15:11
To: r-help at stat.math.ethz.ch
Subject: Re: [R] STAR models estimation with R

The only STAR model I have come across is Smooth Threshold Autoregressive
time series model, see Tong, Non Linear Time Series.  I am not aware of any
package that has implemented threshold models.

Because statistical techniques are used widely across many different
disciplines it is inevitable that naming conventions will diverge, so the
same technique may have different names in different areas of study.

Perhaps it should be added to the posting guide that most general name of a
technique should be used, and in the case of more obscure techniques a brief
reference to a standard text or paper.

Hamilton, see Time Series Analysis, uses the EM algorithm to estimate such
models so it should be possible to do in R.

HTH

Phineas Campbell



-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch]On Behalf Of noomen ajmi
Sent: Tuesday, June 28, 2005 8:44 AM
To: r-help at stat.math.ethz.ch
Subject: [R] STAR models estimation with R


Hi,

Can you tell me if there are an R package or code for STAR model estimation
and test misspecification. If no, how i could do this.

Thanks in advance
Best regards
AJMI Noomen
Phd student
TUNISIA


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