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tsDyn is a R package for modelling non-linear time series. It features following models:

Univariate models:

• AR: standard linear AR (auto-regressive)
• SETAR: self-exciting threshold AR
• LSTAR: Logistic smooth transition AR
• NNET: neural-network
• AAR: additive AR

Bi/multivariate models:

• Linear VAR and VECM
• Threshold VAR and VECM, with threshold cointegration (bi-variate systems only)

Non-linearity tests:

• Univariate test of linearity against:

  -linearity against SETAR: test of Hansen 1999

  -linearity against LSTAR:

• Bivariate test of cointegration against threshold cointegration (Hansen and Seo 2002)

• Bivariate test of no cointegration against threshold cointegration (Seo 2006 )