The package has been rebuilt with the latest version of matjaxr to cope with a CRAN NOTE.
Updated the doc of TARMA.fit.
Updated the references in various places.
Fixed some doc typos in various places.
Changed maintainer e-mail to simone.giannerini@uniud.it.
Expanded the description and included the doi of the relevant papers.
All the real kinds in the Fortran sources have been changed in
C_DOUBLE from the ISO_C_BINDING module, for
portability.
Now TARMAGARCH.test uses the package
rugarch to estimate in one step the parameters of the
ARMA-GARCH null model. Checks for stationarity and invertibility have
been added. Also, the routine has been improved to include the ARCH test
when garch.ord = 0.
TARMA.test, has been improved in many places and the
heteroskedastic robust version of the routines have been added and are
now returned as output, together with their corresponding parameters.
Checks for non-invertibility of the MA part are now consistent with
those of TARMAGARCH.test.
All the routines for TAR and TARMA testing are now more consistent, especially in the computation of the threshold range.
In TARMA.fit fixed a bug in the computation of the
Hessian matrix D2eps.R that was only triggered when the
dimensions of tma1.lags and tma2.lagswere
different. Also, only half of the Hessian matrix was populated.
Extensive improvement of TARMA.fit, see below.
The robust method in TARMA.fit has been
reworked as to include Student’s T innovations for the robust
rho function. The new switch innov allows to
select the innovation density. Allowed options are norm for
Normal and student for Student’s T. The robust weights are
also returned.
The HAC standard errors in TARMA.fit are now
computed in a unified modular way. A small bug is also fixed (wrong
scaling).
A new trimmed LS estimator for
TARMA.fit is implemented (experimental).
The switch estimate.thd in TARMA.fit
and TARMA.fit2 has been removed. Now if
threshold is not NULL the threshold is
estimated over the threshold range.
the Iterative Re-weighted Least Squares algorithm has been
improved and made more robust. Moreover, now irls.control
can be used to control the algorithm.
The documentation has been improved.
Fixed a bug in the creation of the residuals: the first k zeros were not removed (line 859)
Now print.TARMA prints the type of innovation
density and its estimated parameters. Also, the output is more
informative on the kind of estimation method selected.
Removed a leftover string in the doc of
TARMAur.test.B.
Updated and improved the references.
Cosmetic improvement of print.TARMAtest.
print.TARMARemoved a leftover call to the Fortran intrinsic
RANDOM_NUMBER function.
Fixed the docs to cope with the roxygen2 issue https://github.com/r-lib/roxygen2/issues/1491
Now the residuals in TARMA.fit inherit the time
attributes of the original series.
Fixed print.TARMAtest when fixed is
used to fix parameter values in TARMA.fit2.
In TARMAGARCH.test: set
include.mean=TRUE in the ARMA fit and removed
centering.
Minor fixes to the documentation of
TARMAGARCH.test.
Updated the e-mail address of Greta Goracci in the docs.
Updated the Statistica Sinica 2023 reference.
Fixed missing dependency in MAKEVARS: the Fortran library TARMAurtest depends on the Fortran module TARMA_MOD
Fixed broken references in the README.md file. Now
README.Rmd is used to generate it.
Fixed missing PACKAGE in several
.Fortran calls.
First CRAN submission.
Fixed urls and DESCRIPTION file to avoid notes from CRAN.
Added value field to plot.tsfit,
predict.TARMA, print.TARMA,
print.TARMAtest.
Improved the examples of predict.TARMA.
Removed \dontrun or replaced it with
\donttest.
The new functions TARMAur.test and
TARMAur.B.test implement the asymptotic and bootstrap supLM
unit root test for an integrated MA against a stationary TARMA process.
The print method has been updated to handle them and uses tabulated
critical values made available through the dataset
supLMQur.
Added the Journal of Econometrics reference for
TAR.test and TAR.test.B.
The new function TAR.test implements the robust
supLM test for TAR nonlinearity.
The dataset ACValues contains the tabulated critical
values of Andrews(2003), Econometrica.
TAR.test, TAR.test.B,
TARMA.test, TARMAGARCH.test have been modified
to use the new class TARMAtest. The print method for
TARMAtest is implemented and extracts and prints the
critical values from the dataset ACValues.
TARMA.test.B has been replaced by the new function
TAR.test.B. Added the bibtex item for the relevant
paper.
The Fortran module TARMA_MOD has been updated. Also,
the ISO_C_BINDING facilities for floating point types are
used.
Removed the switch shift from
TARMA.test and TARMAGARCH.test.
TARMAGARCH.test now always uses method
for arima fitting.
Minor cosmetic polishing of the documentation of
TARMA.test and TARMAGARCH.test.
The routines tarma.fit and tarma.fit2
have been renamed TARMA.fit and TARMA.fit2,
for consistency.
In tarma2.fit a warning is issued if the regressors
and the series have different lengths.
Fixed a bug in tarma2.fit. The residuals lost the
tsp attributes of the original series.
Fixed a bug in tarma.fit. Now the robust standard
errors routine for the robust method works also for TMA
order greater than one. The internal routine D2eps.R has been
fixed.
The documentation of tarma.fit has been improved.
Most notably, the examples section has been expanded and is now
run.
Fixed the examples of plot.tsfit and
predict.TARMA: they had not been updated after the change
to tarma.fit in version 0.1-4.
print.TARMA now reports also the value of
alpha and qu if the estimation method is
robust.
plot.tsfit gains more flexibility by allowing
control over: line type with ltype, line width with
lwdt. Also, the default line colours and widths have been
changed. The examples are now run.
Minor improvements to the docs: the defaults of
predict.TARMA have been changed. Added a reference for the
robustness paper.
Now tarma.fit2 allows to specify different subsets
of lags for the two regimes: tar1.lags and
tar2.lags. tarma.fit has been changed
accordingly and now passes the exact subsets to tarma.fit2
for initial estimation. The documentation of tarma.fit2 has
been updated.
print.TARMA has been improved and the methods for
the TARMA class have been moved to a separate file.
plot.tsfit now uses inherits to avoid
the note from checking.
Minor corrections and improvements to the documentation of
tarma.fit.
Minor improvements of Description and
Readme.
Fixed a bug in predict.TARMA: the number of
discarded observations did not take into account
ar.lags.
TARMA.test and TARMA.test.B now always
use method for arima fitting.
TARMA.test and TARMA.test.B now also
work with zoo objects.
The robust version of tarma.fit has been polished
and is no more experimental. Fixed a bug in the derivation of robust
standard errors.
Fixed a in bug in tarma.fit for which the trimmed
estimation that was meant to be used only for the initial estimation was
used also in the subsequent steps. Fixed alpha in line 407.
tarma.fit has been completely
rewritten and uses an experimental additional iteratively reweighted
least squares step to estimate the robust weights.The routines ARMAvsTARMA.test and
ARMAvsTARMA.B.test have been renamed
TARMA.test and TARMA.B.test ,
respectively.
Added the routine TARMAGARCH.test .
The method print.TARMA has been rewritten.
The docs have been rewritten to use the package
mathjaxr.
Fixed a bug in line 259 of tarma.fit2: replaced
> with !=.
The output slot method is added to
tarma.fit2 for consistency with tarma.fit. It
is set to MLE and has no effect other than allowing to
differentiate between the two routines.
The output slots arlag and include.int
are added to tarma.fit2.
tarma.fit has been rewritten. Now it can fit a full
subset TARMA(p1,p2,q1,q2) model. Some ergodicity bounds for the
optimization routines have been also added. The objective functions have
been rewritten in a recursive fashion and the code now is several times
faster than before. predict.TARMA has been modified to cope
with the new routine.
Added a warning upon failed convergence in
tarma.fit.
Added the S3 method residuals.TARMA.
tarma.fit now outputs the values of the AIC and BIC
computed according to Chan & Cryer (2008) and Chen & Tsay
(2019).
The output of tarma.fit2 has been modified to match
that of the new version of tarma.fit.
ARMAvsTARMA.test now includes the full test for ARMA
versus TARMA when ma.fixed=FALSE. The output of the test
now includes the information on the parameters tested. The documentation
has been amended accordingly.
Fixed a bug in predict.TARMA: now it handles
correctly time series objects with frequency different from
1.
Now tarma.sim simulates from a full
TARMA(p1,p2,q1,q2) model where q1 and q2 can be different.
tarma.fit2 now gains the possibility to add a
seasonal MA part. The output has been amended accordingly.
Fixed a bug in tarma.sim when the (T)MA order was
greater than the (T)AR order.
Now the output of tarma.fit2 has no NAs
and can be used in tarma.sim.
Changed the option fitted in plot.fit
in plot.tsfit.
Fixed a bug in tarma.sim: now it handles correctly
time series objects with frequency different from
1.
ARMAvsTARMA.test now includes the test for AR versus
TAR when ma.ord=0.
Fixed a bug in the output of ARMAvsTARMA.test.B:
Tb was outside the output list.
tarma.fit2 now allows the inclusion of covariates in
the model.
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