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gets (version 0.1)
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 a log-ARCH-X model of the log-variance. The three main functions of the package are arx, getsm and getsv. The first function estimates an AR-X model with log-ARCH-X errors. The second function undertakes GETS model selection of the mean specification of an arx object, whereas the third function undertakes GETS model selection of the log-variance specification of an arx object.