hystar

Overview

With the R-package hystar, you can simulate data from the hysteretic threshold autoregressive (HysTAR) model, and estimate its parameters. It comes with three functions:

• hystar_fit, to estimate the HysTAR parameters with the conditional least squares method, using your own data or simulated data,

• z_sim, to simulate a threshold variable,

• hystar_sim, to simulate an outcome variable.

Results from the time series analysis can be assessed with the standard methods in R, like plot, summary and print. Additionally, you can extract the predictive residuals with the residuals-method for further analysis.

Use

A minimal example:

library(hystar)
#> 
#>    __            __
#>   / /_ __ ______/ /_________
#>  / _  / // (_ -/  _/ _  / __\
#> /_//_/\_, /___)\__/\_,_/_/
#>      /___/             1.2.0
#> 
#> Estimation and simulation of the HysTAR Model.
#> For function help, run `?hystar_fit`, `?hystar_sim` or `?z_sim`.
#> For more information, run `hystar_info()` (opens a URL in your browser).
control_variable <- z_sim(n_t = 100)
simulated_hystar_model <- hystar_sim(z = control_variable)
fitted_hystar_model <- hystar_fit(data = simulated_hystar_model$data)
summary(fitted_hystar_model)
#> HysTAR model fitted on 99 observations, of which
#> 51 observations in regime 0 and
#> 48 observations in regime 1.
#> 
#> Estimated thresholds:
#>     r0     r1 
#> -0.454  0.562 
#> 
#> Estimated delay:
#> 0 
#> 
#> Estimated model coefficients:
#>          est    SE     p
#> phi_00 0.314 0.156 0.045
#> phi_01 0.346 0.106 0.001
#> phi_10 1.882 0.435 0.000
#> phi_11 0.538 0.108 0.000
#> 
#> Estimated residual variances:
#> sigma2_0 sigma2_1 
#>    1.009    1.097 
#> 
#> Residuals: 
#>    min     1q median     3q    max 
#> -2.639 -0.676  0.014  0.823  2.532 
#> 
#> Information criteria:
#>      bic      aic     aicc    aiccp 
#> 28.28185 16.87277 17.92886 28.87277

Install

For the current CRAN release (1.0.0):

install.packages("hystar")

For the development version (1.2.0.9000):

devtools::install_github("daandejongen/hystar")

Cite

If you have used this package for an scientific publication, please cite it with:

De Jong, D. (2022). hystar: Simulation and Estimation of the Hysteretic TAR Model. R package version 1.2.0, https://github.com/daandejongen/hystar/.

BibTeX:

@Manual{,
    title = {hystar: Simulation and Estimation of the Hysteretic TAR Model},
    author = {Daan {de Jong}},
    year = {2022},
    note = {R package version 1.2.0},
    url = {https://github.com/daandejongen/hystar/},
  }

Get more info

For more information about the package, see the hystar website.

If you want to read more about the HysTAR model itself, see the paper with the original proposal of the HysTAR model in Biometrika (Li, Guan, Li and Yu (2015)). Or, for a mathematically more accessible introduction, see the paper (pre-print) I wrote about detecting hysteresis with the HysTAR model in psychological time series.