Changes in version 11.0.5.2 (2024-10-31) - By Matthieu Stigler (2024-10-29) - Fix CRAN issues: disable over-sensitive tests Changes in version 11.0.5.1 - By Matthieu Stigler (2024-10-28) - Fix CRAN issues: use now teststhat for one file Changes in version 11.0.5 - By Matthieu Stigler (2024-10-27) - Fix small issues in tests - Fix bug in selectLSTAR, cf. https://github.com/MatthieuStigler/tsDyn/issues/55 - Internal: git move all one level up - Internal: use rhub2 Changes in version 11-0.4.1 - By CRAN maintainers (2024-02-01). Changes in version 11-0.4 - By Matthieu Stigler (2023-01-26). - Fixing test output as numerical differences on exotic platforms implied 11-0.3 didn't pass. - Fix doi formatting Changes in version 11-0.3 - By Matthieu Stigler (2023-01-21). - Minor fix, integrate pull request #47 "Replace rgl.* functions with *3d" by @dmurdoch Changes in version 11-0.2 - By Matthieu Stigler (2022-03-09). - Add argument seed in setarTest - Minor fix in using class()== ... instead of inherits (x, ...) - Minor fix of URL: remove URL markup as created errors. - Now use only NEWS, no changelog Changes in version 11-0.1 - By Matthieu Stigler (2022-03-05). - Minor fix in internal test tests/setar.sim_TEST.R that showed different results under ATLAS - Fixing bug where TVECM.SeoTest() had not been exported Changes in version 11-0.0 - By Matthieu Stigler (2022-02-21). - Minor fixes for CRAN. - Fixing many Github issue #13, #12, #22, #23 https://github.com/MatthieuStigler/tsDyn/issues/23. - Improve page for coefB, (@philturk, #21). - Minor fixes for CRAN - Bunch of small fixes - Fixing Github issue #13, #12, #22, #23 https://github.com/MatthieuStigler/tsDyn/issues/23 - Improve page for coefB, Github issue #21 https://github.com/MatthieuStigler/tsDyn/issues/21 Changes in version 10-1.2 (2020-02-04) - Minor fixes for CRAN Changes in version 10-1.1 (2020-01-10) - Minor fixes for CRAN Changes in version 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) Changes in version 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 Changes in version 0.9-47 - fix small issue in lstar code. Changes in version 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 Changes in version 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 Changes in version 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 Changes in version 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 Changes in version 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). Changes in version 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 Changes in version 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() Changes in version 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 Changes in version 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 Changes in version 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 Changes in version 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 Changes in version 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 Changes in version 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 Changes in version 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. Changes in version 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. Changes in version 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/ Changes in version 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. Changes in version 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 Changes in version 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 Changes in version 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 Changes in version 0.7-51 - update NAMESPACE as previous (0.7-50) did not work - add VECM.Rout - add econometrica .bst and amsplain.bst Changes in version 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) Changes in version 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 Changes in version 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 Changes in version 0.7-23 (2010-04-04) - correct bug TVAR.sim - export function VAR.sim, simpler wrapper for TVAR.sim Changes in version 0.7-22 (2010-02-23) - correct bug in HanSeo_TVECM, which can now be used (but still not exported) Changes in version 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 Changes in version 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 Changes in version 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 Changes in version 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 Changes in version 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) Changes in version 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 Changes in version 0.5-6 (2007-05-16) - fixed bug in setar model when mL and/or mH=0 Changes in version 0.5-5 (2007-03-23) - fixed bug in lstar model out-of-sample forecasting Changes in version 0.5-4 (2006-09-21) - fixed some warnings issued in R-2.4.0 check script Changes in version 0.5-3 (2006-07-24) - fixed some warnings issued in R-devel check script - added URL field to DESCRIPTION Changes in version 0.5-2 (2006-07-18) - fixed gui design error in autopairs and autotriples Changes in version 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) Changes in version 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. Changes in version 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() Changes in version 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 Changes in version 0.3-5 - largely improved apparence of regime-switching plot, changed palette for lstar diagnostic plots - added latex printing of fitted setar models Changes in version 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 Changes in version 0.3-3 - fixed minor bug in selectSETAR output presentation Changes in version 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 Changes in version 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 Changes in version 0.3 - added llar.predict and llar.fitted functions, improved llar output object Changes in version 0.2-4 - fixed vignette - fixed external variable management in predict.setar and predict.lstar Changes in version 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 Changes in version 0.2-2 - added optional legend to plot.setar and plot.lstar Changes in version 0.2-1 - added autopairs and autotriples functions, with a minimal (optional) TclTk GUI Changes in version 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 Changes in version 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 Changes in version 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 - added plot method to nlar.fit class Changes in version 0.1