The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.

tsDyn 11.0.5.2

• By Matthieu Stigler (2024-10-29)
• Fix CRAN issues: disable over-sensitive tests

tsDyn 11.0.5.1

• By Matthieu Stigler (2024-10-28)
• Fix CRAN issues: use now teststhat for one file

tsDyn 11.0.5

• By Matthieu Stigler (2024-10-27)

• Fix small issues in tests

• Fix bug in selectLSTAR, cf. https://github.com/MatthieuStigler/tsDyn/issues/55

• Internal: git move all one level up

• Internal: use rhub2

tsDyn 11-0.4.1

• By CRAN maintainers (2024-02-01).

tsDyn 11-0.4

• By Matthieu Stigler (2023-01-26).
• Fixing test output as numerical differences on exotic platforms implied 11-0.3 didn’t pass.
• Fix doi formatting

tsDyn 11-0.3 (not submitted to CRAN)

• By Matthieu Stigler (2023-01-21).
• Minor fix, integrate pull request #47 “Replace rgl.* functions with *3d” by @dmurdoch

tsDyn 11-0.2

• By Matthieu Stigler (2022-03-09).
• Add argument seed in setarTest
• Minor fix in using class()== … instead of inherits (x, …)
• Minor fix of URL: remove URL markup as created errors.
• Now use only NEWS, no changelog

tsDyn 11-0.1 (not submitted to CRAN)

• By Matthieu Stigler (2022-03-05).
• Minor fix in internal test tests/setar.sim_TEST.R that showed different results under ATLAS
• Fixing bug where TVECM.SeoTest() had not been exported

tsDyn 11-0.0

• By Matthieu Stigler (2022-02-21).
• Minor fixes for CRAN.
• Fixing many Github issue #13, #12, #22, #23 https://github.com/MatthieuStigler/tsDyn/issues/23.
• Improve page for coefB, (@philturk, #21).

Version 11-0.0: Matthieu Stigler (2020-12-06)

• Minor fixes for CRAN
• Bunch of small fixes
• Fixing Github issue #13, #12, #22, #23 https://github.com/MatthieuStigler/tsDyn/issues/23
• Improve page for coefB, Github issue #21 https://github.com/MatthieuStigler/tsDyn/issues/21

Version 10-1.2: Ho Tsung-wu (2020-02-04)

• Minor fixes for CRAN

Version 10-1.1: Ho Tsung-wu (2020-01-10)

• Minor fixes for CRAN

Version 0.9-50: Matthieu Stigler (20/5/2018)

• new function: ECT_plot(), showing the (T)VECM response to ECT deviations
• newfunction: ar_mean(), to compute the long-term mean of an AR process
• MAJOR: tsDyn now depends on R 2.13, not 2.10 (i.e. at least 2011 version, not 2010)

Version 0.9-48: Matthieu Stigler (20/5/2018)

• minor: fix two issues in R test, reduce tolerance
• minor: create internal coefVec
• minor: new nlVar methods tets file
• minor: adjust slightly the example from TVAR, TVECM

Version 0.9-47: Matthieu Stigler (15/5/2018) never published on CRAN

• fix small issue in lstar code.

Version 0.9-46: Matthieu Stigler (21/1/2018)

• new: predict.TVAR
• new: rewrite TVAR.gen, cleaner TVAR.boot and TVAR.sim
• fix bug: nameB in TVAR had issue for some cases.
• many minor updates in doc

Version 0.9-45: Matthieu Stigler (29/8/2017) never published on CRAN

• minor: change registration of c code
• minor: add dataset m.unrate, previously in (now archived) FinTs
• minor: small documentation updates, use canonical urls, etc

Version 0.9-44: Matthieu Stigler (22/5/2016)

• new: vcov.TVAR
• minor fix: TVAR_LRtest now uses robust QR instead of manual solve()…
• fix bug: vcov.VAR corrected, was wrong
• minor fixes: VAR.sim did not return all args, internal insertCol did not handle well just one row, typos in man file VECM
• minor new: summary.VAR now outputs component coefMat, more consistent output
• minor new: TVAR outputs df.residual
• vcov: improve vcov for VAR/VECM, using faster chol2inv saving previous qr
• minor fixes in NAMESPACE, urls citations, etc

Version 0.9-43: Matthieu Stigler (23/4/2015)

• minor fixes: add checking in selectLSTAR in case of convergence issue, rename lstar.Rout.save as created issues on other platforms

Version 0.9-42: Matthieu Stigler (15/4/2015) never published on CRAN

• full rewrite of VAR.sim, VAR.gen, now cleaner, allows for exogeneous predictions, etc.
• remove predict.VECM
• fix small issue in DESC file (pkg description in title case, only one maintainer).

Version 0.9-41: Matthieu Stigler (26/8/2014)

• change description for new url to github wiki, as well as new field mailinglist
• fix suggests issues (sm::foo()) newly detected by R CMD check devel

Version 0.9-40: Matthieu Stigler (12/8/2014), never published on cran

• new functions coefB(), coefA(), coefPI() returning the A, B and PI coefs for VECMs
• new function VECM.sim()
• new function TVECM.boot()
• new method getTh.lstar(), getTh.default()
• new method vcov.setar()
• new method coef.setar(), coef.lstar()
• new method logLik.cajo.test()
• extend argument in lineVar/VECM: allow lag=0
• TVECM.sim() extend for r>1, new argument seed
• VECM(): extend ML estimation of restricted model
• lstar(): change coefficient naming, consistency with setar()
• minor: robustify OLS computations using lm.fit() in SETAR(), in TVAR()

Version 0.9-33: Matthieu Stigler (28/3/2014)

• minor: correct use of partial naming in all.equal(), which resulted in package being taken out of CRAN
• bug correction: correct VARrep in presence of external regressors. Reported by Paul Schreck
• bug correction: correct resVar
• minor: removed various calls of :::
• minor: change package call, most notably remove the enhance forecast, as forecast already in Imports

Version 0.9-32: Matthieu Stigler (13/7/2013)

• change some tests to avoid difference in outputs depending on platform/architecture
• remove the data(x) used at bottom of many scripts

Version 0.9-31: Matthieu Stigler (12/7/2013)

• adopt half roxygen documentation
• minor correction in rank.test: add print.summary()
• minor correction in predict_rolling for forecast objects.
• changes in tests/lstar and /compareVecm to lower printing digits, to reduce changes in architecture/platform

Version 0.9-3: Matthieu Stigler (5/5/2013)

• change: package loading: put most packages from depends to import
• change: TVECM.SeoTest, check with try() if inversion ok, otherwise use return NA
• change: VAR, check with try() if inversion ok, otherwise use ginv()
• vignette: change GIRF section
• New argument: label in some toLatex functions
• New argument: exogen in VECM, VAR

Version 0.9-2: Matthieu Stigler (20/12/2012)

• GUI: remove due to problems in assign(yy, globalEnv) not alowed anymore.
• New function: accuracy_stat: give forecast accuracy either comparing two datasets, or giving a pred_roll object
• Extend function: predict_rolling: allows to give rolling predictions for many models nlar, VAR/VECM, forecast

Version 0.9-12: Matthieu Stigler (11/12/2012)

• Correct bug: TVAR_LRtest now handles extern ThVar
• Correct bug: TVAR had bug in naming arguments
• Minor: many very minor changes, check class in predict, add message for ADF in VARrep, exclude lag <1 in lineVar

Version 0.9-1: Matthieu Stigler (05/11/2012)

• Extend method: vcov.lstar
• Extend method: confint.lstar
• Extend method: getTh.lstar
• Extend method: regime.lstar
• New argument: thInt as control for starting values of lstar()
• New argument: trace in selectLSTAR and selectNNET
• New argument: strategy for selectLSTAR: allows recovering previous optimal values for starting values in all LSTAR searches.
• Minor: changed procedure in lstar(), recover only parameters with optimHessian, instead of runnign second optim round.
• Correct bug: corrected bug in exporting fake ca.jo object, reported by Uwe Ligges.

Version 0.9-0: Matthieu Stigler (26/10/2012)

• New function: rank.select() and derived lags.select(): compute the rank and lags according to AC/BIC criteria.
• New function: rank.test() for Johansen LR rank test, using gamma approximated p-values.
• New function: fevd() and irf() from package vars are now available.
• New function: predict() now implemented for linear multivariate models.
• New function: predict_rolling(): allow rolling forecasts, using sub-samples.
• New function: VARrep(): VAR representation of a VECM, or of a VAR in differences.
• New function: VECM.sim(): wrapper of TVECM.sim()
• New function: VAR.sim(): wrapper of renamed TVAR.gen()
• New function: VAR.boot(): wrapper of renamed TVAR.gen()
• New argument: fitted() can be retunred either as in the model (so sometimes in diff) or on the original series with arg “level”.
• New argument: VAR.sim() can now fix seed when generating/resamping innovations, with arg “seed”.
  
• New argument: predict() now can predict using bootstrap or MC, with arg “type”.
• New argument: lineVar() can compute also model with type=“ADF” as in univariate case.
• New argument: AIC, BIC are corrected and have new argument fitMeasure.
• New help page: document lokLik()
• New test page: nlar-methods.
• New test page: VAR.
• Correct bug: Correct bug in resVar()
• minor: TVECM.sim(): print more information on input coefficient matrix when demanded.
• minor: plot.setar(): change lty
• minor: adapt citation to new person() function.
• minor: adapt documentation pages for cross-links to other packages using
• minor: corrections in VECM() for restricted constant and intercepts in MLE.
• minor: corrections in VECM() for restricted constant and intercepts in OLS.
• minor: getTh() now alos works for linear multivariate models.

Version 0.8-1: Matthieu Stigler (13/02/2012)

• minor: avoid partial matching in call to legend() in TVECM.HStest
• minor: re-run tests with newest R 2.14 in english
• minor: move vignettes from /inst/doc to new folder vignettes/

Version 0.8: Matthieu Stigler (12/02/2012)

• New feature: Add argument include in lstar: possibility to estimate lstar with constant, none, trend or both.
• New feature: Add argument starting.control in lstar: possibility to specify grid search parameters
• New feature: Add argument hpc in selectSETAR to run on parallel cores.
• Minor: add explicit warning in lstar when grid search select bound.
• Minor: add explicit warning in lstar when optim code is 1, referencing argument maxit.
• Minor: Cleaning of help files, correcting many typos.

Version 0.7-62: Matthieu Stigler (19/12/2011)

• Add standard errors for lstar()
• Minor: change sd(matrix) to apply(matrix,2,sd) (chage in R 2.14)
• Minor: change partial argument matching in a few calls
• Minor: correct vignette ThCointegration

Version 0.7-61: Matthieu Stigler (02/08/2011)

• TVECM: allow for K>2 variables when the cointegrating vector is pre-specified
• TVECM summary: change output, adding newlines after coint vector and percentage of observations

Version 0.7-6: Matthieu Stigler (14/05/2011)

• correct bug in star (bugreport by Petri H) by Christoph B
• change return value of star() in case of no star regime detected: returns linear object instead of series itself

Version 0.7-52: Matthieu Stigler (08/05/2011)

• add tests for lstar
• correct lstar so that optim function re-evaluate each time linear parameters
• remove VECM.Rout as useless

Version 0.7-51: Matthieu Stigler

• update NAMESPACE as previous (0.7-50) did not work
• add VECM.Rout
• add econometrica .bst and amsplain.bst

Version 0.7-50: Matthieu Stigler (30/03/2011)

• remove own BIC function and use that of pkg nlme, as recommend by Prof Ripley
• fix bug in Rd files, and description (missing suggest packages)
• fix bug in ‘autopairs’ and ‘autotriples’: bogus ‘showvalue’ option was passed to the ‘scale’ widget (bugreport by Budi Hari Priyanto)

Version 0.7-40: Matthieu Stigler (11/08/2010)

• Add paralell option for TVAR.LRtest(), setarTest(), TVECM.Seotest()
• regime() works also for nlVar, also add arguments initVal and timeAttr
• RENAME function TVECM.HSTest in TVECM.HStest
• correct bug in TVECM.HSTest

Version 0.7-30: Matthieu Stigler (30/06/2010)

• Add function TVECM.HStest (before was HanSeo_TVECM). Has new argument hpc for parallel computing.
• Add function VECM(), simple wrapper for lineVar(…, model=“VECM”)
• Add Johansen estimator for VECM()
• Add methods AIC, BIC, logLik for class VECM
• Correct numerous bugs

Version 0.7-23: Matthieu Stigler (01/04/2010)

• correct bug TVAR.sim
• export function VAR.sim, simpler wrapper for TVAR.sim

Version 0.7-22: Matthieu Stigler (22/02/2010)

• correct bug in HanSeo_TVECM, which can now be used (but still not exported)

Version 0.7-2: Matthieu Stigler (20/02/2010)

• Correct degrees of freedom for VAR covariance matrix
• Standardize output of lineVar with lm
• update slightly vignette
• add specific vignette on threshold cointegration

Version 0.7-1: Matthieu Stigler (04/09/2009)

• Change args of TVECM from nn to ngridBeta, from ngridG to ngridTh, model to common
• Add functions regime to extract variabl indicating state regime
• Add function getTh to extract threshold values
• Adapt toLatex.setar to handle MTAR models. Still needs improvement
• Fix bugs in TVECM, in HansSeo_TVECM and in setar

Version 0.7-0: Matthieu Stigler (02/07/2009)

• added possibilty to have two thresolds and hence three regimes in setar and selectSETAR (arg nthresh)
• created new functions for unit roots tests: KapShinTest() and BBCTest()
• created new functions for estimating VAR and VECM: lineVar
• created new function for estimating TVECM: function TVECM()
• created new function for estimating TVAR: function TVAR()
• created new function to test for setar: function setarTest()
• created new function to test for TVAR: function TVAR.LRtest()
• created new function to test for TVECM: functions TVECM.SeoTest() and HanSeo_TVECM()
• created new function to simulate/bootstrap a TVAR: function TVAR.sim()
• created new function to simulate/bootstrap a TVECM: function TVECM.sim()
• created new function to simulate/bootstrap a setar: function setar.sim()
• created new function to estimate regime-specific variance in setar: function resVar()
• created new function to extend a bootstrap replication in setarTest: function extendBoot()
• added ‘zeroyld’ dataset
• added ‘unemp’ dataset
• added ‘IIPUs’ dataset
• added in selectSETAR() and setar() following args: include, common, model, trim, MM, ML, MH, model, restriction
• added MakeThSpec() function for specification of the threshold in the search
• added in selectSETAR(): criterion “SSR” (sum of squares residual) and argument max.iter
• extended arg th in selectSETAR to search inside an intervall or around a point or on the whole grid
• added k parameter to the AIC method and fixed a bug
• standardized license naming in description
• fixed typo in print.star

Version 0.6-1: Antonio Fabio di Narzo

• fixed CITATION file to the new R format
• fixed bug in nnetTs: control args were not passed to ‘nnet’ fitter reported by prof. Joachim Zietz
• fixed bug in llar.predict (spotted by Markus Gross)

Version 0.6-0: Antonio Fabio di Narzo

• fixed Matrix dependency in DESCRIPTION
• added minimal docs for newly created internal objects
• added STAR model option to the tcltk GUI
• added a new STAR-fitting function with automatic selection of the number of regimes
• fixed bugs in lstar
• fixed bugs in some internal functions
• added google codebase project URL to DESCRIPTION

Version 0.5-6: Antonio Fabio di Narzo

• fixed bug in setar model when mL and/or mH=0

Version 0.5-5 released

• fixed bug in lstar model out-of-sample forecasting

Version 0.5-4 released

• fixed some warnings issued in R-2.4.0 check script

Version 0.5-3 released

• fixed some warnings issued in R-devel check script
• added URL field to DESCRIPTION

Version 0.5-2 released

• fixed gui design error in autopairs and autotriples

Version 0.5-1 released

• added draft of internal design vignette
• minor fixes in vignette, added AAR model fitting example
• fixed bug in setar and lstar (introduced in version 0.5)

Version 0.5 released

• added minor fixes for passing checks under R-2.3.0
• added tsDyn package overview man page, with getting started indications
• upgraded vignette to the new models usage
• fixed bug in plot.llar
• changed llar interface to nlar models schema
• eliminated nlar function: now each model has its own function. Using more explicitely classes inheritance and polymorphism. Adding more nlar models now should be much simpler.

Version 0.4-1 released

• updated all package dialogs to the new GUI system
• written a whole (basic) object oriented GUI system, with pass-by-reference semantics
• added input checking to first dialog of nlarDialog()

Version 0.4 released

• added hidden ‘series’ name argument to ‘nlar’
• added early version of nlarDialog, a GUI for ‘nlar’ model fitting
• fixed latex apparence of some manual pages
• fixed notational errors in vignette: Z_t=Z_{t-d}, z_t changed in Z_t in LSTAR model formulation
• added nlar.fit class documentation
• changed text entry with slide bar in autopairs and autotriples
  
• added availableModels function, upgraded docs
  
• added and documented aar model
  
• added and documented tarch model
• added and documented arch model

Version 0.3-5 released

• largely improved apparence of regime-switching plot, changed palette for lstar diagnostic plots
• added latex printing of fitted setar models

Version 0.3-4 released

• changed lag-plots for setar and lstar models when more than 300 points are to be plotted
• fixed notation error in vignette (equation (4) on neural networks)
• deleted 0-lag in acf, pacf and ami summary plots for nlar.fit objects
• extended threshold variable printing informations for setar and lstar models
• added alternative selection criteria for selectSETAR
• added regime proportions info in print.setar and summary.setar
• added regime switching plot to plot.setar and plot.lstar
• fixed graphical pars. resetting in plot.nlar.fit
• added convenience wrappers ‘setar’ and ‘lstar’, improved relative documentation

Version 0.3-3 released

• fixed minor bug in selectSETAR output presentation

Version 0.3-2 released

• changed general AIC formula
• added dummy (non-working), undocumented version of FAR (Functional AutoRegressive) model
• added early, undocumented version of AAR (Additive AutoRegressive) model
• modified selectSETAR, selectLSTAR, selectNNET functions: now more coherent results

Version 0.3-1 released

• added autotriples.rgl (now also the rgl package is suggested)
• added the possibility to stop the llar procedure
• fixed y-scale in llar diagnostic plot
• improved autotriples, upgraded vignette

Version 0.3 released

• added llar.predict and llar.fitted functions, improved llar output object

Version 0.2-4 released

• fixed vignette
• fixed external variable management in predict.setar and predict.lstar

Version 0.2-3 released

• added vignette
• improved SETAR and LSTAR models: now ‘predict’ interface is sensible to the type of threshold variable
• fixed and exported delta, delta.test, delta.lin and delta.lin.test

Version 0.2-2 released

• added optional legend to plot.setar and plot.lstar

Version 0.2-1 released

• added autopairs and autotriples functions, with a minimal (optional) TclTk GUI

Version 0.2 released

• changed builtin nonlinear models documentation structure: now one page per model
• added possibility of external threshold variables in setar models
• added unexported delta tests of indipendence and linearity
• added hidden tests in nlar-methods and llar man pages examples
• improved summary method for linear and setar models
• added llar routine, i.e., Casdagli test of nonlinearity

Version 0.1-2 released

• removed unuseful sum-of-squares functions
• added selectSETAR, selectLSTAR and selectNNET functions, for automatic selection of model hyper-parameters
• minor bug fixes
• added ‘predict’ method to nlar.fit objects, subclasses linear, setar, lstar and nnet
• fixed nlar.fit objects time series storage redundancy

Version 0.1-1 released

• added neural network model documentation
• added dummy predict method to nlar.fit
• minor bug fix in lstar model
• added lstar and setar plot method
• fixed lstar model documentation
• bug fix in summary.lstar when embedding dimension is 1
• bug fix in nlar and plot.setar when embedding dimension is 1
• added dummy ‘summary’, ‘print’ and ‘plot’ function to nnet subclass
• added utility ‘sum-of-squares’ functions for implemented models
• added plot method to nlar.fit class

Version 0.1: initial release

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.
Health stats visible at Monitor.