R Under development (unstable) (2024-10-26 r87273 ucrt) -- "Unsuffered Consequences" Copyright (C) 2024 The R Foundation for Statistical Computing Platform: x86_64-w64-mingw32/x64 R is free software and comes with ABSOLUTELY NO WARRANTY. You are welcome to redistribute it under certain conditions. Type 'license()' or 'licence()' for distribution details. R is a collaborative project with many contributors. Type 'contributors()' for more information and 'citation()' on how to cite R or R packages in publications. Type 'demo()' for some demos, 'help()' for on-line help, or 'help.start()' for an HTML browser interface to help. Type 'q()' to quit R. > 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 2.28 0.46 2.73