Re: [R] STAR models estimation with R

Date: Wed 29 Jun 2005 - 00:42:53 EST

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.

Hannu Kahra

-----Original Message-----
From: [] On Behalf Of Phineas Campbell Sent: 28. kesäkuuta 2005 15:11
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-----
[]On Behalf Of noomen ajmi Sent: Tuesday, June 28, 2005 8:44 AM
Subject: [R] STAR models estimation with R


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

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