Improve page for coefB, Github issue #21 https://github.com/MatthieuStigler/tsDyn/issues/21
tsDyn 10-1.2 (2020-02-04)
Minor fixes for CRAN
tsDyn 10-1.1 (2020-01-10)
Minor fixes for CRAN
tsDyn 0.9-50
new function: ECT_plot(), showing the (T)VECM response to ECT deviations
newfunction: ar_mean(), to compute the long-term mean of an AR process
MAJOR: tsDyn now depends on R 2.13, not 2.10 (i.e. at least 2011 version, not 2010)
tsDyn 0.9-48 (2018-06-03)
minor: fix two issues in R test, reduce tolerance
minor: create internal coefVec
minor: new nlVar methods tets file
minor: adjust slightly the example from TVAR, TVECM
tsDyn 0.9-47
fix small issue in lstar code.
tsDyn 0.9-46 (2018-01-22)
new: predict.TVAR
new: rewrite TVAR.gen, cleaner TVAR.boot and TVAR.sim
fix bug: nameB in TVAR had issue for some cases.
many minor updates in doc
tsDyn 0.9-45
minor: change registration of c code
minor: add dataset m.unrate, previously in (now archived) FinTs
minor: small documentation updates, use canonical urls, etc
tsDyn 0.9-44 (2016-05-22)
new: vcov.TVAR
minor fix: TVAR_LRtest now uses robust QR instead of manual solve()...
fix bug: vcov.VAR corrected, was wrong
minor fixes: VAR.sim did not return all args, internal insertCol did not handle well just one row, typos in man file VECM
minor new: summary.VAR now outputs component coefMat, more consistent output
minor new: TVAR outputs df.residual
vcov: improve vcov for VAR/VECM, using faster chol2inv saving previous qr
minor fixes in NAMESPACE, urls citations, etc
tsDyn 0.9-43 (2015-04-24)
minor fixes: add checking in selectLSTAR in case of convergence issue, rename lstar.Rout.save as created issues on other platforms
tsDyn 0.9-42
full rewrite of VAR.sim, VAR.gen, now cleaner, allows for exogeneous predictions, etc.
remove predict.VECM
fix small issue in DESC file (pkg description in title case, only one maintainer).
tsDyn 0.9-41 (2014-08-26)
change description for new url to github wiki, as well as new field mailinglist
fix suggests issues (sm::foo()) newly detected by R CMD check devel
tsDyn 0.9-40
new functions coefB(), coefA(), coefPI() returning the A, B and PI coefs for VECMs
new function VECM.sim()
new function TVECM.boot()
new method getTh.lstar(), getTh.default()
new method vcov.setar()
new method coef.setar(), coef.lstar()
new method logLik.cajo.test()
extend argument in lineVar/VECM: allow lag=0
TVECM.sim() extend for r>1, new argument seed
VECM(): extend ML estimation of restricted model
lstar(): change coefficient naming, consistency with setar()
minor: robustify OLS computations using lm.fit() in SETAR(), in TVAR()
tsDyn 0.9-33 (2014-03-29)
minor: correct use of partial naming in all.equal(), which resulted in package being taken out of CRAN
bug correction: correct VARrep in presence of external regressors. Reported by Paul Schreck
bug correction: correct resVar
minor: removed various calls of :::
minor: change package call, most notably remove the enhance forecast, as forecast already in Imports
tsDyn 0.9-32 (2013-07-13)
change some tests to avoid difference in outputs depending on platform/architecture
remove the data(x) used at bottom of many scripts
tsDyn 0.9-31
adopt half roxygen documentation
minor correction in rank.test: add print.summary()
minor correction in predict_rolling for forecast objects.
changes in tests/lstar and /compareVecm to lower printing digits, to reduce changes in architecture/platform
tsDyn 0.9-12
Correct bug: TVAR_LRtest now handles extern ThVar
Correct bug: TVAR had bug in naming arguments
Minor: many very minor changes, check class in predict, add message for ADF in VARrep, exclude lag <1 in lineVar
tsDyn 0.9-3
change: package loading: put most packages from depends to import
change: TVECM.SeoTest, check with try() if inversion ok, otherwise use return NA
change: VAR, check with try() if inversion ok, otherwise use ginv()
vignette: change GIRF section
New argument: label in some toLatex functions
New argument: exogen in VECM, VAR
tsDyn 0.9-2 (2012-12-21)
GUI: remove due to problems in assign(yy, globalEnv) not alowed anymore.
New function: accuracy_stat: give forecast accuracy either comparing two datasets, or giving a pred_roll object
Extend function: predict_rolling: allows to give rolling predictions for many models nlar, VAR/VECM, forecast
tsDyn 0.9-1 (2012-11-08)
Extend method: vcov.lstar
Extend method: confint.lstar
Extend method: getTh.lstar
Extend method: regime.lstar
New argument: thInt as control for starting values of lstar()
New argument: trace in selectLSTAR and selectNNET
New argument: strategy for selectLSTAR: allows recovering previous optimal values for starting values in all LSTAR searches.
Minor: changed procedure in lstar(), recover only parameters with optimHessian, instead of runnign second optim round.
Correct bug: corrected bug in exporting fake ca.jo object, reported by Uwe Ligges.
tsDyn 0.9-0 (2012-10-29)
New function: rank.select() and derived lags.select(): compute the rank and lags according to AC/BIC criteria.
New function: rank.test() for Johansen LR rank test, using gamma approximated p-values.
New function: fevd() and irf() from package vars are now available.
New function: predict() now implemented for linear multivariate models.
New function: predict_rolling(): allow rolling forecasts, using sub-samples.
New function: VARrep(): VAR representation of a VECM, or of a VAR in differences.
New function: VECM.sim(): wrapper of TVECM.sim()
New function: VAR.sim(): wrapper of renamed TVAR.gen()
New function: VAR.boot(): wrapper of renamed TVAR.gen()
New argument: fitted() can be retunred either as in the model (so sometimes in diff) or on the original series with arg "level".
New argument: VAR.sim() can now fix seed when generating/resamping innovations, with arg "seed".
New argument: predict() now can predict using bootstrap or MC, with arg "type".
New argument: lineVar() can compute also model with type="ADF" as in univariate case.
New argument: AIC, BIC are corrected and have new argument fitMeasure.
New help page: document lokLik()
New test page: nlar-methods.
New test page: VAR.
Correct bug: Correct bug in resVar()
minor: TVECM.sim(): print more information on input coefficient matrix when demanded.
minor: plot.setar(): change lty
minor: adapt citation to new person() function.
minor: adapt documentation pages for cross-links to other packages using \pgk{}
minor: corrections in VECM() for restricted constant and intercepts in MLE.
minor: corrections in VECM() for restricted constant and intercepts in OLS.
minor: getTh() now alos works for linear multivariate models.
tsDyn 0.8-1 (2012-02-16)
minor: avoid partial matching in call to legend() in TVECM.HStest
minor: re-run tests with newest R 2.14 in english
minor: move vignettes from /inst/doc to new folder vignettes/
tsDyn 0.8
New feature: Add argument include in lstar: possibility to estimate lstar with constant, none, trend or both.
New feature: Add argument starting.control in lstar: possibility to specify grid search parameters
New feature: Add argument hpc in selectSETAR to run on parallel cores.
Minor: add explicit warning in lstar when grid search select bound.
Minor: add explicit warning in lstar when optim code is 1, referencing argument maxit.
Minor: Cleaning of help files, correcting many typos.
tsDyn 0.7-62 (2011-12-19)
Add standard errors for lstar()
Minor: change sd(matrix) to apply(matrix,2,sd) (chage in R 2.14)
Minor: change partial argument matching in a few calls
Minor: correct vignette ThCointegration
tsDyn 0.7-61
TVECM: allow for K>2 variables when the cointegrating vector is pre-specified
TVECM summary: change output, adding newlines after coint vector and percentage of observations
tsDyn 0.7-52 (2011-05-09)
add tests for lstar
correct lstar so that optim function re-evaluate each time linear parameters
remove VECM.Rout as useless
tsDyn 0.7-51
update NAMESPACE as previous (0.7-50) did not work
add VECM.Rout
add econometrica .bst and amsplain.bst
tsDyn 0.7-50
remove own BIC function and use that of pkg nlme, as recommend by Prof Ripley
fix bug in Rd files, and description (missing suggest packages)
fix bug in 'autopairs' and 'autotriples': bogus 'showvalue' option was passed to the 'scale' widget
(bugreport by Budi Hari Priyanto)
tsDyn 0.7-40 (2010-08-11)
Add paralell option for TVAR.LRtest(), setarTest(), TVECM.Seotest()
regime() works also for nlVar, also add arguments initVal and timeAttr
RENAME function TVECM.HSTest in TVECM.HStest
correct bug in TVECM.HSTest
tsDyn 0.7-30 (2010-07-02)
Add function TVECM.HStest (before was HanSeo_TVECM). Has new argument hpc for parallel computing.
Add function VECM(), simple wrapper for lineVar(..., model="VECM")
Add Johansen estimator for VECM()
Add methods AIC, BIC, logLik for class VECM
Correct numerous bugs
tsDyn 0.7-23 (2010-04-04)
correct bug TVAR.sim
export function VAR.sim, simpler wrapper for TVAR.sim
tsDyn 0.7-22 (2010-02-23)
correct bug in HanSeo_TVECM, which can now be used (but still not exported)
tsDyn 0.7-6
correct bug in star (bugreport by Petri H) by Christoph B
change return value of star() in case of no star regime detected: returns linear object instead of series itself
tsDyn 0.7-2 (2010-02-21)
Correct degrees of freedom for VAR covariance matrix
Standardize output of lineVar with lm
update slightly vignette
add specific vignette on threshold cointegration
tsDyn 0.7-1 (2009-09-05)
Change args of TVECM from nn to ngridBeta, from ngridG to ngridTh, model to common
Add functions regime to extract variabl indicating state regime
Add function getTh to extract threshold values
Adapt toLatex.setar to handle MTAR models. Still needs improvement
Fix bugs in TVECM, in HansSeo_TVECM and in setar
tsDyn 0.7-0
added possibilty to have two thresolds and hence three regimes in setar and selectSETAR (arg nthresh)
created new functions for unit roots tests: KapShinTest() and BBCTest()
created new functions for estimating VAR and VECM: lineVar
created new function for estimating TVECM: function TVECM()
created new function for estimating TVAR: function TVAR()
created new function to test for setar: function setarTest()
created new function to test for TVAR: function TVAR.LRtest()
created new function to test for TVECM: functions TVECM.SeoTest() and HanSeo_TVECM()
created new function to simulate/bootstrap a TVAR: function TVAR.sim()
created new function to simulate/bootstrap a TVECM: function TVECM.sim()
created new function to simulate/bootstrap a setar: function setar.sim()
created new function to estimate regime-specific variance in setar: function resVar()
created new function to extend a bootstrap replication in setarTest: function extendBoot()
added 'zeroyld' dataset
added 'unemp' dataset
added 'IIPUs' dataset
added in selectSETAR() and setar() following args: include, common, model, trim, MM, ML, MH, model, restriction
added MakeThSpec() function for specification of the threshold in the search
added in selectSETAR(): criterion "SSR" (sum of squares residual) and argument max.iter
extended arg th in selectSETAR to search inside an intervall or around a point or on the whole grid
added k parameter to the AIC method and fixed a bug
standardized license naming in description
fixed typo in print.star
tsDyn 0.6-1 (2009-02-24)
fixed CITATION file to the new R format
fixed bug in nnetTs: control args were not passed to 'nnet' fitter
reported by prof. Joachim Zietz
fixed bug in llar.predict (spotted by Markus Gross)
tsDyn 0.6-0 (2008-02-03)
fixed Matrix dependency in DESCRIPTION
added minimal docs for newly created internal objects
added STAR model option to the tcltk GUI
added a new STAR-fitting function with automatic selection of the number of regimes
fixed bugs in lstar
fixed bugs in some internal functions
added google codebase project URL to DESCRIPTION
tsDyn 0.5-6 (2007-05-16)
fixed bug in setar model when mL and/or mH=0
tsDyn 0.5-5 (2007-03-23)
fixed bug in lstar model out-of-sample forecasting
tsDyn 0.5-4 (2006-09-21)
fixed some warnings issued in R-2.4.0 check script
tsDyn 0.5-3 (2006-07-24)
fixed some warnings issued in R-devel check script
added URL field to DESCRIPTION
tsDyn 0.5-2 (2006-07-18)
fixed gui design error in autopairs and autotriples
tsDyn 0.5-1
added draft of internal design vignette
minor fixes in vignette, added AAR model fitting example
fixed bug in setar and lstar (introduced in version 0.5)
tsDyn 0.5
added minor fixes for passing checks under R-2.3.0
added tsDyn package overview man page, with getting started indications
upgraded vignette to the new models usage
fixed bug in plot.llar
changed llar interface to nlar models schema
eliminated nlar function: now each model has its own function. Using more explicitely classes inheritance and polymorphism. Adding more nlar models now should be much simpler.
tsDyn 0.4-1
updated all package dialogs to the new GUI system
written a whole (basic) object oriented GUI system, with pass-by-reference semantics
added input checking to first dialog of nlarDialog()
tsDyn 0.4
added hidden 'series' name argument to 'nlar'
added early version of nlarDialog, a GUI for 'nlar' model fitting
fixed latex apparence of some manual pages
fixed notational errors in vignette: Z_t=Z_{t-d}, z_t changed in Z_t in LSTAR model formulation
added nlar.fit class documentation
changed text entry with slide bar in autopairs and autotriples
added availableModels function, upgraded docs
added and documented aar model
added and documented tarch model
added and documented arch model
tsDyn 0.3-5
largely improved apparence of regime-switching plot, changed palette for lstar diagnostic plots
added latex printing of fitted setar models
tsDyn 0.3-4
changed lag-plots for setar and lstar models when more than 300 points are to be plotted
fixed notation error in vignette (equation (4) on neural networks)
deleted 0-lag in acf, pacf and ami summary plots for nlar.fit objects
extended threshold variable printing informations for setar and lstar models
added alternative selection criteria for selectSETAR
added regime proportions info in print.setar and summary.setar
added regime switching plot to plot.setar and plot.lstar
fixed graphical pars. resetting in plot.nlar.fit
added convenience wrappers 'setar' and 'lstar', improved relative documentation
tsDyn 0.3-3
fixed minor bug in selectSETAR output presentation
tsDyn 0.3-2
changed general AIC formula
added dummy (non-working), undocumented version of FAR (Functional AutoRegressive) model
added early, undocumented version of AAR (Additive AutoRegressive) model
modified selectSETAR, selectLSTAR, selectNNET functions: now more coherent results
tsDyn 0.3-1
added autotriples.rgl (now also the rgl package is suggested)
added the possibility to stop the llar procedure
fixed y-scale in llar diagnostic plot
improved autotriples, upgraded vignette
tsDyn 0.3
added llar.predict and llar.fitted functions, improved llar output object
tsDyn 0.2-4
fixed vignette
fixed external variable management in predict.setar and predict.lstar
tsDyn 0.2-3
added vignette
improved SETAR and LSTAR models: now 'predict' interface is sensible to the type of threshold variable
fixed and exported delta, delta.test, delta.lin and delta.lin.test
tsDyn 0.2-2
added optional legend to plot.setar and plot.lstar
tsDyn 0.2-1
added autopairs and autotriples functions, with a minimal (optional) TclTk GUI
tsDyn 0.2
changed builtin nonlinear models documentation structure: now one page per model
added possibility of external threshold variables in setar models
added unexported delta tests of indipendence and linearity
added hidden tests in nlar-methods and llar man pages examples
improved summary method for linear and setar models
added llar routine, i.e., Casdagli test of nonlinearity
tsDyn 0.1-2
removed unuseful sum-of-squares functions
added selectSETAR, selectLSTAR and selectNNET functions, for automatic selection of model hyper-parameters
minor bug fixes
added 'predict' method to nlar.fit objects, subclasses linear, setar, lstar and nnet
fixed nlar.fit objects time series storage redundancy
tsDyn 0.1-1
added neural network model documentation
added dummy predict method to nlar.fit
minor bug fix in lstar model
added lstar and setar plot method
fixed lstar model documentation
bug fix in summary.lstar when embedding dimension is 1
bug fix in nlar and plot.setar when embedding dimension is 1
added dummy 'summary', 'print' and 'plot' function to nnet subclass
added utility 'sum-of-squares' functions for implemented models