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  • Home
  • Publications
  • Springer Book
    • Table of Content
    • Chapter 1
    • Chapter 2
    • Chapter 3
    • Chapter 4
    • Chapter 5
    • Chapter 6
    • Chapter 7
    • Chapter 8
    • Chapter 9
    • Chapter 10
    • Chapter 11
    • Chapter 12
    • Errata
    • Reviews
  • DATA SETS
  • CONTACT
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Chapter 6: Model Estimation, Selection, and Checking

Data Sets
Chapter_6-data.zip
Example62_res.dat
HSI_returns.dat
HSI-daily-stockprices-2010-T251.dat
USgnp.dat
WaterTable-Precipitation.dat​
Well-1-6.zip
Computer Codes
​Examples:
Example_6-1.zip
Example_6-2.zip      
Example_6-3.zip      
Example_6-4.zip    
Example_6-5.zip 
Example_6-6.zip      
Example_6-7.zip      
Example_6-8.zip     

Section 6.4: 
TARSO.zip               ​

Exercises:
Exercise_6-5.m   
Exercise_6-5-remark.r
Exercise_6-6.m                    
Exercise_6-8.r                     
Exercise_6-9.m     

Miscellanea:

Amendola-Francq.zip​
Bagnato.zip                    
Ling-Tong.zip
​STAR3-32bit.zip
​
Strikholm-Terasvirta.zip     ​
TARfit.src     
                                               
Threshold models Genetic Algorithms (GA)
(Executable C codes):
​DTGARCH-GA.zip
MSETAR-GA.zip   
PLTAR-GA.zip
SETAR-GA.zip 

Giovanis-GA.zip
Multiple-regime-GA.zip ​

Figures 
Figures-Chapter-6-exercises.zip          
Figures-Chapter-6-exercises-jpg.zip   

​​
​(M code)
(M and R codes)
(F code)
(R code)
​(M code)
(Renamed exe and dll files; see the Readme.txt file)
(M code)
(G code)


(F code)


(M code)
​(R code)
(M code)
(R code)
(M code)


(R code)
(M code)
(F code)
(To execute the program, see the files Readme.txt and Password-STAR3.txt)
(G code)
(G code)



(To execute the programs rename the files with the extension 
... .exe.txt and ... .dll.txt; see the Readme.txt file)


​​
(M code)
(M code)

​
(EPS format)
​(JPEG format)
​Links to  Websites with  Supplementary Material
  • Click on the following link for getting access to the Ox package TSM (Time Series Modelling) by James Davidson.  TSM runs under Ox Console (32-bit) and is offered free for academic and educational purposes. For the 64-bit version, it requires a licence for the commercial package Ox Professional. TSM will estimate and forecast ARIMA and ARFIMA models, several GARCH, FIGARCH, APARCH and EGARCH variants, BL models, Markov switching models, and STAR models.
  • Click on the following link for getting access to the web page of Christian Francq for R and MATHEMATICA codes associated with the results in the paper by Amendola and Francq (2009). Reference: Amendola, A. and Francq, C. (2009). Concepts and tools for nonlinear time series modelling. In E. Kontoghiorghes and D. Belsley (Eds.) Handbook of Computational Econometrics, Wiley, New York, pp. 377-427. See also the MPRA working paper at mpra.ub.uni-muenchen.de/15140 and for a more recent version  htttp://mpra.ub.uni-muenchen.de/16668/.
  • Click on the following link for getting access to the web page of Tomáš Bacigál with MATHEMATICA codes associated with results in his PhD thesis "Advanced methods of time series modelling and their application in geodesy". The GPS data set analyzed in Bacigál (2004, J. Electrical Engineering) is here.
  • The original GAUSS codes for replicating the results in Van Dijk et al. (2002, Econometric Reviews) are here. 
  • New STAR model selection results  are given by Maringer and Meyer (2008, Stud. Nonlinear Dyn. E.). For data sets and results, see the journal article website (authorized access).  The performance of information criteria for SETAR and STAR model selection are evaluated by Rinke and Sibbertsen (2016,  Stud. Nonlinear Dyn. E.). MATLAB code for replicating this study is available at the journal article website (authorized access).
Last modified: January 2023

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