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TVAR.LRtest(data, lag = 1, trend = TRUE, series, thDelay = 1:m, mTh = 1,
thVar, nboot = 10, plot = FALSE, trim = 0.1, test = c("1vs", "2vs3"),
model = c("TAR", "MTAR"), hpc = c("none", "foreach"), trace = FALSE,
check = FALSE)
Arguments
data
multivariate time series
lag
Number of lags to include in each regime
trend
whether a trend should be added
series
name of the series
thDelay
'time delay' for the threshold variable (as multiple of embedding time delay d) PLEASE NOTE that the notation is currently different to univariate models in tsDyn. The left side variable is taken at time t, and not t+1 as in univariate cases.
mTh
combination of variables with same lag order for the transition variable. Either a single value (indicating which variable to take) or a combination
thVar
external transition variable
nboot
Number of bootstrap replications
plot
Whether a plot showing the results of the grid search should be printed
trim
trimming parameter indicating the minimal percentage of observations in each regime
test
Type of usual and alternative hypothesis. See details
model
Whether the threshold variable is taken in level (TAR) or difference (MTAR)
hpc
Possibility to run the bootstrap on parallel core. See details in TVECM.HStest
trace
should additional infos be printed? (logical)
check
Possibility to check the function by no sampling: the test value should be the same as in the original data
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