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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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Version

Install

install.packages('AutoSEARCH')

Monthly Downloads

46

Version

1.2

License

GPL-2

Maintainer

Genaro Sucarrat

Last Published

October 11th, 2012

Functions in AutoSEARCH (1.2)

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