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Package tsDyn: Wiki

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tsDyn is a R package for modelling non-linear time series. It features following models:

Univariate models:

• AR
• SETAR
• LSTAR
• NNET
• AAR

Bi/multivariate models:

• VAR/VECM
• TVAR/TVECM

Non-linearity tests:

• Univariate test of linearity against SETAR, against LSTAR
• Bivariate test of cointegration against threshold cointegration (Hansen Seo 2002)
• Bivariate test of no cointegration against threshold cointegration (Seo 2006 )