Convert an object to class 'arx'
Convert to 'lm' object
Extraction functions for 'arx' objects
Extraction functions for 'gets' objects
Extraction functions for 'isat' objects
Bias-correction of coefficients following general-to-specific model selection
Block-based General-to-Specific (GETS) modelling
Conditional Value-at-Risk (VaR) and Expected Shortfall (ES)
Estimate an AR-X model with log-ARCH-X errors
Extraction functions for 'logitx' objects
General-to-Specific (GETS) and Indicator Saturation (ISAT) Modelling
General-to-Specific (GETS) Modelling
Indicator Saturation
Hoover and Perez (1999) data
Bootstrapped Jiao-Pretis-Schwarz Outlier Distortion Test
Make Indicator Matrices (Impulses, Steps, Trends)
Simulate from a dynamic logit-x model
General-to-Specific (GETS) Modelling 'isat' objects
Equally Weighted Moving Average (EqWMA) of the pth. exponentiated values
Drop variable
Simulate from a Multivariate Normal Distribution
Extracting Indicator Saturation Breakdates
Diagnostics tests
General-to-Specific (GETS) Modelling of objects of class 'logitx'
Jiao-Pretis-Schwarz Outlier Distortion Test
Repeated Impulse Indicator Saturation
Estimation of a logit model
Exporting results to EViews and STATA
Quarterly Norwegian year-on-year CPI inflation
Computes the Average Value of an Information Criterion
Estimate an autoregressive logit model with covariates
Jiao and Pretis Outlier Proportion and Count Tests
General-to-Specific (GETS) modelling function
Make matrix of periodicity (e.g. seasonal) dummies
Generate LaTeX code of an estimation result
Forecasting with 'arx' models
Recursive estimation
UK SO2 Data
Variance of the coefficient path
Indicator Saturation Test
Variance of the Impulse Indicator Saturation Gauge
Consistency and Efficiency Correction for Impulse Indicator Saturation
OLS estimation
Create the regressors of the mean equation
Daily Standard and Poor's 500 index data
Create the regressors of the variance equation
Sum and Sup Scaling Outlier Tests
Extraction functions for 'arx', 'gets' and 'isat' objects
General-to-Specific (GETS) Modelling 'lm' objects
General-to-Specific (GETS) Modelling of an AR-X model (the mean specification) with log-ARCH-X errors (the log-variance specification).
Generalised Method of Moment (GMM) estimation of linear models
IIS Consistency Correction
IIS Efficiency Correction