To cite package 'tsDyn' in publications use:

Antonio, Fabio Di Narzo, Jose Luis Aznarte and Matthieu Stigler (2009). tsDyn: Time series analysis based on dynamical systems theory
Matthieu Stigler (2010). tsDyn: Threshold cointegration: overview and implementation in R

Corresponding BibTeX entries:

  @Manual{,
    title = {tsDyn: Time series analysis based on dynamical systems
      theory},
    author = {{Antonio} and Fabio Di Narzo and Jose Luis Aznarte and
      Matthieu Stigler},
    year = {2009},
    note = {R package version 0.7},
    url =
      {http://stat.ethz.ch/CRAN/web/packages/tsDyn/vignettes/tsDyn.pdf},
  }
  @Manual{,
    title = {Threshold cointegration: overview and implementation in
      R},
    author = {Matthieu Stigler},
    year = {2010},
    note = {R package version 0.7-2},
    url =
      {http://stat.ethz.ch/CRAN/web/packages/tsDyn/vignettes/ThCointOverview.pdf},
  }