General-to-Specific (GETS) Modelling and Indicator Saturation
Methods
Description
Automated multi-path General-to-Specific (GETS) modelling of the mean and variance of a regression, and indicator saturation methods for detecting structural breaks in the mean. The mean can be specified as an autoregressive model with covariates (an 'AR-X' model), and the variance can be specified as a log-variance model with covariates (a 'log-ARCH-X' model). The four main functions of the package are arx, getsm, getsv and isat. The first function, arx, estimates an AR-X model with log-ARCH-X errors. The second function, getsm, undertakes GETS model selection of the mean specification of an arx object. The third function, getsv, undertakes GETS model selection of the log-variance specification of an arx object. The fourth function, isat, undertakes GETS model selection of an indicator saturated mean specification.