RDocumentation
Moon
Learn R
Search all packages and functions
⚠️
There's a newer version (1.5) of this package.
Take me there.
AutoSEARCH (version 1.01)
General-to-Specific (GETs) Model Selection
Description
Multi-path General-to-Specific (GETS) model selection of the mean and log-volatility specifications of a power log-ARCH model
Copy Link
Copy
Link to current version
Version
Version
1.5
1.4
1.3
1.2
1.01
1.0
Down Chevron
Install
install.packages('AutoSEARCH')
Monthly Downloads
77
Version
1.01
License
GPL-2
Maintainer
Genaro Sucarrat
Last Published
November 14th, 2011
Functions in AutoSEARCH (1.01)
Search functions
AutoSEARCH-package
General-to-Specific (GETS) Model selection
ewma
Equally Weighted Moving Average (EWMA) of the pth. exponentiated residuals
gLag
Lag a series
gedlogl
Log-likelihood of a standardised Generalised Error Distribution (GED)
gLog.ep
Adjust for zero values and compute log[abs(e)^p]
jb.test
Jarque-Bera test for normality
info.criterion
Computes the the value of an information criterion
sm
Estimates a SEARCH model
ols.fit2
Fast and accurate OLS estimation by means of QR decomposition
gedestp
Estimates the shape parameter of a standardised Generalised Error Distribution (GED)
gets.vol
General-to-Specific (GETS) model selection of a log-volatility specification
gets.mean
General-to-Specific (GETS) model selection of the mean specification
skewness.test
Chi-square test skewness in the standardised residuals
ols.fit1
Fast and accurate OLS estimation by means of QR decomposition
regs.mean.sm
Creates the regressors of the mean specification of a SEARCH model
regs.vol.sm
Creates the regressors of the log-volatility specification of a SEARCH model