Auxiliary function to specify the number of regimes and lag orders

This auxiliary function defines the regime structure of a multivariate TAR model by specifying the number of regimes and the corresponding lag orders for the endogenous, exogenous, and threshold series in each regime.

Usage

ars(nregim = 1, p = 1, q = 0, d = 0)

Arguments

nregim

A positive integer indicating the total number of regimes.

p

A list of positive integers specifying the autoregressive order of the output series within each regime.

q

A list of non-negative integers specifying the maximum lag of the exogenous series within each regime.

d

A list of non-negative integers specifying the maximum lag of the threshold series within each regime.

Value

A list containing the number of regimes and the regime-specific lag-order specifications.