Message-ID: <97388.59053.qm@web24208.mail.ird.yahoo.com>
Date: 2009-02-20T07:12:49Z
From: Andreas Klein
Subject: TAR Models and predictive residuals (Tsay, 1989)
In-Reply-To: <4AAD56F399C8564C9EB6817C17618CDD0251E822@NYC-XCH3.win.moorecap.com>
Hello R users.
There is a paper from Ruey Tsay with the title: "Testing and Modelling Threshold Autoregressive Processes", published in 1989 in the Journal of the American Statistical Association (March, Vol. 84, No. 405).
Mr. Tsay describes a very interesting way of identifying and modelling threshold AR processes.
1. Is there a package in R or some routines, which implements his ideas and his methodology?
2. Is there a routine in R to calculate the predictive residuals (like defined in the paper)?
Thanks in advance.
Regards,
Andreas.