Threshold Autoregressive Models — beyond ARIMA + R code

Threshold Autoregressive Models — beyond ARIMA + R Code

Meet TAR — a nonlinear extension of the autoregressive model.

Introduction

When it comes to time series analysis, academically you will most likely start with Autoregressive models, then expand to Autoregressive Moving Average models, and then expand it to integration making it ARIMA. The next steps are usually types of seasonality analysis, containing additional endogenous and exogenous variables (ARDL, VAR) eventually facing cointegration. And from this moment on things …

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