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AutoSEARCH (version 1.3)

General-to-Specific (GETS) Model Selection

Description

Automated multi-path General-to-Specific (GETS) model selection of either an AR-X model with log-ARCH-X errors, or of a log-ARCH-X model of the error. NOTE: The package has been succeeded by the package gets, also available on the CRAN, which is intended to be more user-friendly, faster and easier to extend. AutoSEARCH will continue to be maintained, but the development focus will switch to gets. Users are therefore encouraged to consider gets instead.

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Version

Install

install.packages('AutoSEARCH')

Monthly Downloads

46

Version

1.3

License

GPL-2

Maintainer

Genaro Sucarrat

Last Published

October 22nd, 2014

Functions in AutoSEARCH (1.3)

AutoSEARCH-package

General-to-Specific (GETS) Model selection
ols.fit1

Fast and accurate OLS estimation by means of QR decomposition
sm

Estimate an AR-X model with log-ARCH-X errors
gedestp

Estimate and compute log-likelihood of the standardised Generalised Error Distribution (GED)
regs.mean.sm

Create the regressors of an AR-X model
gLag

Lag a series
gets.mean

General-to-Specific (GETS) Model Selection of an AR-X model with log-ARCH-X errors
regs.vol.sm

Create the regressors of a log-ARCH-X model
gLog.ep

Adjust for zero values and compute log(abs(e)^p)