R Under development (unstable) (2024-10-26 r87273 ucrt) -- "Unsuffered Consequences"
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> library(tsDyn)
>
> mod.set <- setar(lynx,m=2)
Warning message:
Possible unit root in the low regime. Roots are: 0.4681 5.0788
>
> regime(mod.set)
Time Series:
Start = 1821
End = 1934
Frequency = 1
[1] NA NA 1 1 1 2 2 2 2 2 2 1 1 1 1 1 2 2 2 2 1 1 1 1 1
[26] 1 1 2 2 1 1 1 1 1 1 2 2 2 2 1 1 1 1 1 2 2 2 2 1 1
[51] 1 1 1 2 2 2 2 1 1 1 1 1 1 2 2 2 2 1 1 1 1 1 1 1 1
[76] 2 2 1 1 1 1 1 1 2 2 2 2 2 1 1 1 1 2 2 2 2 2 1 1 1
[101] 1 1 1 1 2 2 2 2 1 1 1 1 2 2
> regime(mod.set, initVal=FALSE)
Time Series:
Start = 1823
End = 1934
Frequency = 1
[1] 1 1 1 2 2 2 2 2 2 1 1 1 1 1 2 2 2 2 1 1 1 1 1 1 1 2 2 1 1 1 1 1 1 2 2 2 2
[38] 1 1 1 1 1 2 2 2 2 1 1 1 1 1 2 2 2 2 1 1 1 1 1 1 2 2 2 2 1 1 1 1 1 1 1 1 2
[75] 2 1 1 1 1 1 1 2 2 2 2 2 1 1 1 1 2 2 2 2 2 1 1 1 1 1 1 1 2 2 2 2 1 1 1 1 2
[112] 2
> regime(mod.set, time=FALSE)
[1] NA NA 1 1 1 2 2 2 2 2 2 1 1 1 1 1 2 2 2 2 1 1 1 1 1
[26] 1 1 2 2 1 1 1 1 1 1 2 2 2 2 1 1 1 1 1 2 2 2 2 1 1
[51] 1 1 1 2 2 2 2 1 1 1 1 1 1 2 2 2 2 1 1 1 1 1 1 1 1
[76] 2 2 1 1 1 1 1 1 2 2 2 2 2 1 1 1 1 2 2 2 2 2 1 1 1
[101] 1 1 1 1 2 2 2 2 1 1 1 1 2 2
> regime(mod.set, time=FALSE, initVal=FALSE)
[1] 1 1 1 2 2 2 2 2 2 1 1 1 1 1 2 2 2 2 1 1 1 1 1 1 1 2 2 1 1 1 1 1 1 2 2 2 2
[38] 1 1 1 1 1 2 2 2 2 1 1 1 1 1 2 2 2 2 1 1 1 1 1 1 2 2 2 2 1 1 1 1 1 1 1 1 2
[75] 2 1 1 1 1 1 1 2 2 2 2 2 1 1 1 1 2 2 2 2 2 1 1 1 1 1 1 1 2 2 2 2 1 1 1 1 2
[112] 2
> plot(regime(mod.set))
>
> data(barry)
> mod.tv <- TVAR(barry[,1:2], lag=2, nthresh=2, thDelay=1, trim=0.1, mTh=1, plot=TRUE)
Best unique threshold 1.2252
Second best: 1.3893 (conditionnal on th= 1.2252 and Delay= 1 ) SSR/AIC: 6.972166
Second best: 1.2252 (conditionnal on th= 1.3893 and Delay= 1 ) SSR/AIC: 6.972166
Second step best thresholds 1.2252 1.3893 SSR: 6.972166
>
> regime(mod.tv)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1973 NA NA 1 1 1 1 1 1 1 1 1 1
1974 1 1 1 1 1 1 1 1 1 1 1 1
1975 1 1 1 1 1 1 1 1 1 1 1 1
1976 1 1 1 1 1 1 1 1 1 1 1 1
1977 1 1 1 1 1 1 1 1 1 1 1 1
1978 1 1 1 1 1 1 1 1 1 1 1 1
1979 1 1 1 1 1 1 1 1 1 1 1 1
1980 1 1 1 1 1 1 1 1 1 1 1 1
1981 1 1 1 1 1 1 1 1 1 1 1 1
1982 1 1 1 1 1 2 2 2 2 2 2 2
1983 2 2 2 2 2 2 2 2 2 2 2 2
1984 2 2 2 2 2 2 2 2 2 2 2 2
1985 2 2 2 2 2 2 2 2 2 2 2 2
1986 3 3 3 3 2 2 3 2 2 2 2 2
1987 2 2 2 2 2 2 2 2 2 2 2 2
1988 2 2 2 2 2 2 1 1 1 2 1 1
1989 1 1 1 1 1 1 1 1 1 1 1 1
1990 1 1 1 1 1 1 1 1 1 1 1 1
1991 1 1 1 1 1 1 1 1 1 1 1 1
1992 1 1 1 1 1 1 1 1 1 1 2 2
1993 2 2 2 2 2 2 2 2 2 2 2 2
1994 2 2 2 2 2 2 2 2 2 2 2 2
1995 2 3 3 3 2 2 2 2 2 2 2 2
1996 2 2 2 2 2 2 2 2 2 2 2 2
1997 2 2 2 2 3 2 2 2 3 2 2 3
1998 3 3 3 3 3 3 3 3 3 3 3 3
1999 3 3 3 3 3 3 3 3 3 3 3 3
> regime(mod.tv, initVal=FALSE)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1973 1 1 1 1 1 1 1 1 1 1
1974 1 1 1 1 1 1 1 1 1 1 1 1
1975 1 1 1 1 1 1 1 1 1 1 1 1
1976 1 1 1 1 1 1 1 1 1 1 1 1
1977 1 1 1 1 1 1 1 1 1 1 1 1
1978 1 1 1 1 1 1 1 1 1 1 1 1
1979 1 1 1 1 1 1 1 1 1 1 1 1
1980 1 1 1 1 1 1 1 1 1 1 1 1
1981 1 1 1 1 1 1 1 1 1 1 1 1
1982 1 1 1 1 1 2 2 2 2 2 2 2
1983 2 2 2 2 2 2 2 2 2 2 2 2
1984 2 2 2 2 2 2 2 2 2 2 2 2
1985 2 2 2 2 2 2 2 2 2 2 2 2
1986 3 3 3 3 2 2 3 2 2 2 2 2
1987 2 2 2 2 2 2 2 2 2 2 2 2
1988 2 2 2 2 2 2 1 1 1 2 1 1
1989 1 1 1 1 1 1 1 1 1 1 1 1
1990 1 1 1 1 1 1 1 1 1 1 1 1
1991 1 1 1 1 1 1 1 1 1 1 1 1
1992 1 1 1 1 1 1 1 1 1 1 2 2
1993 2 2 2 2 2 2 2 2 2 2 2 2
1994 2 2 2 2 2 2 2 2 2 2 2 2
1995 2 3 3 3 2 2 2 2 2 2 2 2
1996 2 2 2 2 2 2 2 2 2 2 2 2
1997 2 2 2 2 3 2 2 2 3 2 2 3
1998 3 3 3 3 3 3 3 3 3 3 3 3
1999 3 3 3 3 3 3 3 3 3 3 3 3
> regime(mod.tv, time=FALSE)
[1] NA NA 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[26] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[51] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[76] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[101] 1 1 1 1 1 1 1 1 1 1 1 1 1 2 2 2 2 2 2 2 2 2 2 2 2
[126] 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2
[151] 2 2 2 2 2 2 3 3 3 3 2 2 3 2 2 2 2 2 2 2 2 2 2 2 2
[176] 2 2 2 2 2 2 2 2 2 2 2 1 1 1 2 1 1 1 1 1 1 1 1 1 1
[201] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[226] 1 1 1 1 1 1 1 1 1 1 1 1 1 2 2 2 2 2 2 2 2 2 2 2 2
[251] 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 3 3 3 2 2 2 2 2 2 2
[276] 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 3 2 2 2 3 2 2 3
[301] 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
> regime(mod.tv, time=FALSE, initVal=FALSE)
[1] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[38] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[75] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[112] 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2
[149] 2 2 2 2 2 2 3 3 3 3 2 2 3 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 1
[186] 1 1 2 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[223] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2
[260] 2 2 2 2 3 3 3 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 3 2 2 2 3 2
[297] 2 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
> plot(regime(mod.tv))
>
>
>
> mod.tvecm <-TVECM(barry[,1:2], nthresh=2,lag=1, ngridBeta=20, ngridTh=30,trim=0.05, common="All")
71 (11.8%) points of the grid lead to regimes with percentage of observations < trim and were not computed
Best threshold from first search -0.0918
Best cointegrating value 0.01640409
Second best (conditionnal on the first one) -0.0918 0.2282 SSR 7.17416
There were 6 thresholds values which minimize the SSR in the iterative step, the first one was taken
Second step best thresholds -0.0954 0.2282 SSR 7.17416
>
> regime(mod.tvecm)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1973 NA NA 3 3 3 3 3 3 3 3 3 3
1974 3 3 3 3 3 3 3 3 3 3 3 3
1975 3 3 3 3 3 3 3 3 3 3 3 3
1976 3 3 3 3 3 3 3 3 3 3 3 3
1977 3 3 3 3 3 3 3 3 3 3 3 3
1978 3 3 3 3 3 3 3 3 3 3 3 3
1979 3 3 3 3 3 3 3 3 3 3 3 3
1980 3 3 3 3 3 3 3 3 3 3 3 3
1981 3 3 3 3 3 3 3 2 3 2 2 2
1982 2 2 2 2 2 2 3 2 2 2 2 2
1983 2 2 2 2 2 2 2 2 2 2 2 2
1984 2 2 2 2 2 2 2 2 2 2 2 2
1985 2 2 2 3 2 2 2 2 2 2 2 2
1986 2 2 2 3 2 2 2 2 2 2 2 2
1987 2 2 2 2 2 2 2 2 2 2 2 2
1988 2 2 2 2 2 2 2 2 2 2 2 2
1989 1 1 1 1 1 1 1 1 1 1 1 1
1990 1 1 1 1 1 1 1 1 1 1 1 1
1991 1 1 1 1 1 1 1 1 1 1 1 1
1992 1 1 1 1 1 1 1 1 1 1 1 1
1993 1 1 1 1 1 1 1 1 1 1 1 1
1994 1 1 1 1 1 1 1 1 1 1 1 1
1995 1 1 1 1 1 1 1 1 1 1 1 1
1996 1 1 1 1 1 1 1 1 1 1 1 1
1997 1 1 1 1 1 1 1 1 1 1 1 1
1998 1 1 1 1 1 1 1 1 1 1 1 1
1999 1 1 1 1 1 1 1 1 1 1 1 1
> regime(mod.tvecm, initVal=FALSE)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1973 3 3 3 3 3 3 3 3 3 3
1974 3 3 3 3 3 3 3 3 3 3 3 3
1975 3 3 3 3 3 3 3 3 3 3 3 3
1976 3 3 3 3 3 3 3 3 3 3 3 3
1977 3 3 3 3 3 3 3 3 3 3 3 3
1978 3 3 3 3 3 3 3 3 3 3 3 3
1979 3 3 3 3 3 3 3 3 3 3 3 3
1980 3 3 3 3 3 3 3 3 3 3 3 3
1981 3 3 3 3 3 3 3 2 3 2 2 2
1982 2 2 2 2 2 2 3 2 2 2 2 2
1983 2 2 2 2 2 2 2 2 2 2 2 2
1984 2 2 2 2 2 2 2 2 2 2 2 2
1985 2 2 2 3 2 2 2 2 2 2 2 2
1986 2 2 2 3 2 2 2 2 2 2 2 2
1987 2 2 2 2 2 2 2 2 2 2 2 2
1988 2 2 2 2 2 2 2 2 2 2 2 2
1989 1 1 1 1 1 1 1 1 1 1 1 1
1990 1 1 1 1 1 1 1 1 1 1 1 1
1991 1 1 1 1 1 1 1 1 1 1 1 1
1992 1 1 1 1 1 1 1 1 1 1 1 1
1993 1 1 1 1 1 1 1 1 1 1 1 1
1994 1 1 1 1 1 1 1 1 1 1 1 1
1995 1 1 1 1 1 1 1 1 1 1 1 1
1996 1 1 1 1 1 1 1 1 1 1 1 1
1997 1 1 1 1 1 1 1 1 1 1 1 1
1998 1 1 1 1 1 1 1 1 1 1 1 1
1999 1 1 1 1 1 1 1 1 1 1 1 1
> regime(mod.tvecm, time=FALSE)
[1] NA NA 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
[26] 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
[51] 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
[76] 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
[101] 3 3 3 2 3 2 2 2 2 2 2 2 2 2 3 2 2 2 2 2 2 2 2 2 2
[126] 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 3 2 2
[151] 2 2 2 2 2 2 2 2 2 3 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2
[176] 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 1 1 1 1 1 1 1 1
[201] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[226] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[251] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[276] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[301] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
> regime(mod.tvecm, time=FALSE, initVal=FALSE)
[1] 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
[38] 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3
[75] 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 3 2 3 2 2 2 2 2 2 2 2
[112] 2 3 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 3 2 2
[149] 2 2 2 2 2 2 2 2 2 3 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2
[186] 2 2 2 2 2 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[223] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[260] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
[297] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
> plot(regime(mod.tvecm))
>
> proc.time()
user system elapsed
2.35 0.46 2.81