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AutoSEARCH (version 1.2)
General-to-Specific (GETS) Model Selection
Description
Automated Multi-path General-to-Specific (GETS) model selection of the mean and log-volatility specifications of a log-ARCH-X model
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Install
install.packages('AutoSEARCH')
Monthly Downloads
62
Version
1.2
License
GPL-2
Maintainer
Genaro Sucarrat
Last Published
October 11th, 2012
Functions in AutoSEARCH (1.2)
Search functions
gLog.ep
Adjust for zero values and compute log(abs(e)^p)
gets.mean
General-to-Specific (GETS) model selection of the mean specification
sm
Estimates a SEARCH model, that is, a model with an AR-X mean specification and a log-ARCH-X log-volatility specification
regs.mean.sm
Creates the regressors of the mean specification of a SEARCH model
ols.fit1
Fast and accurate OLS estimation by means of QR decomposition
leqwma
The logarithm of an Equally Weighted Moving Average (EqWMA) of the pth. exponentiated absolute values
regs.vol.sm
Creates the regressors of the log-volatility specification
ols.fit2
Fast and accurate OLS estimation by means of QR decomposition
gedlogl
Log-likelihood of a standardised Generalised Error Distribution (GED)
eqwma
Equally Weighted Moving Average (EqWMA) of the pth. exponentiated values
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
info.criterion
Computes the the value of an information criterion
gLag
Lag a series
AutoSEARCH-package
General-to-Specific (GETS) Model selection
skewness.test
Chi-square test skewness in the standardised residuals
jb.test
Jarque-Bera test for normality