- By Matthieu Stigler (2024-10-29)
- Fix CRAN issues: disable over-sensitive tests
- By Matthieu Stigler (2024-10-28)
- Fix CRAN issues: use now teststhat for one file
-
By Matthieu Stigler (2024-10-27)
-
Fix small issues in tests
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Fix bug in selectLSTAR, cf. #55
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Internal: git move all one level up
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Internal: use rhub2
- By CRAN maintainers (2024-02-01).
- 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
- By Matthieu Stigler (2023-01-21).
- Minor fix, integrate pull request #47 "Replace rgl.* functions with *3d" by @dmurdoch
- By Matthieu Stigler (2022-03-09).
- Add argument
seedinsetarTest - 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
- 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
- By Matthieu Stigler (2022-02-21).
- Minor fixes for CRAN.
- Fixing many Github issue #13, #12, #22, #23 #23.
- Improve page for coefB, (@philturk, #21).
- Minor fixes for CRAN
- Bunch of small fixes
- Fixing Github issue #13, #12, #22, #23 #23
- Improve page for coefB, Github issue #21 #21
- Minor fixes for CRAN
- Minor fixes for CRAN
- 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)
- 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
- fix small issue in lstar code.
- 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
- minor: change registration of c code
- minor: add dataset m.unrate, previously in (now archived) FinTs
- minor: small documentation updates, use canonical urls, etc
- 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
- minor fixes: add checking in selectLSTAR in case of convergence issue, rename lstar.Rout.save as created issues on other platforms
- 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).
- 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
- 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()
- 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
- change some tests to avoid difference in outputs depending on platform/architecture
- remove the data(x) used at bottom of many scripts
- 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
- 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
- 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
- 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
- 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.
- 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.
- 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/
- 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.
- 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
- 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
- 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
- add tests for lstar
- correct lstar so that optim function re-evaluate each time linear parameters
- remove VECM.Rout as useless
- update NAMESPACE as previous (0.7-50) did not work
- add VECM.Rout
- add econometrica .bst and amsplain.bst
- 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)
- 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
- 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
- correct bug TVAR.sim
- export function VAR.sim, simpler wrapper for TVAR.sim
- correct bug in HanSeo_TVECM, which can now be used (but still not exported)
- Correct degrees of freedom for VAR covariance matrix
- Standardize output of lineVar with lm
- update slightly vignette
- add specific vignette on threshold cointegration
- 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
- 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
- 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)
- 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
- fixed bug in setar model when mL and/or mH=0
- fixed bug in lstar model out-of-sample forecasting
- fixed some warnings issued in R-2.4.0 check script
- fixed some warnings issued in R-devel check script
- added URL field to DESCRIPTION
- fixed gui design error in autopairs and autotriples
- 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)
- 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.
- 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()
- 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
- largely improved apparence of regime-switching plot, changed palette for lstar diagnostic plots
- added latex printing of fitted setar models
- 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
- fixed minor bug in selectSETAR output presentation
- 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
- 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
- added llar.predict and llar.fitted functions, improved llar output object
- fixed vignette
- fixed external variable management in predict.setar and predict.lstar
- 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
- added optional legend to plot.setar and plot.lstar
- added autopairs and autotriples functions, with a minimal (optional) TclTk GUI
- 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
- 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
- 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