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AutoSEARCH (version 1.0)
Automated Financial Modelling
Description
Automated multi-path General-to-Specific (GETS) model selection of the mean and volatility specification of a power log-ARCH model
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Install
install.packages('AutoSEARCH')
Monthly Downloads
62
Version
1.0
License
GPL-2
Maintainer
Genaro Sucarrat
Last Published
November 7th, 2011
Functions in AutoSEARCH (1.0)
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ewma
Equally Weighted Moving Average (EWMA) of the pth. exponentiated residuals
gedlogl
Log-likelihood of a standardised Generalised Error Distribution (GED)
regs.mean.sm
Creates the regressors of the mean specification of a SEARCH model
ols.fit2
Fast and accurate OLS estimation by means of QR decomposition
gets.mean
General-to-Specific (GETS) model selection of the mean specification
info.criterion
Computes the the value of an information criterion
ols.fit1
Fast and accurate OLS estimation by means of QR decomposition
sm
Estimates a SEARCH model
gets.vol
General-to-Specific (GETS) model selection of the log-volatility specification of a SEARCH model
gLag
Lag a series
regs.vol.sm
Creates the regressors of the log-volatility specification of a SEARCH model
gedestp
Estimates the shape parameter of a standardised Generalised Error Distribution (GED)
jb.test
Jarque-Bera test for normality
gLog.ep
Adjust for zero values and compute log[abs(e)^p]
AutoSEARCH-package
General-to-Specific (GETS) Model selection
skewness.test
Chi-square test skewness in the standardised residuals