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gets (version 0.22)

General-to-Specific (GETS) Modelling and Indicator Saturation Methods

Description

Automated General-to-Specific (GETS) modelling of the mean and variance of a regression, and indicator saturation methods for detecting and testing for structural breaks in the mean.

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Version

Install

install.packages('gets')

Monthly Downloads

692

Version

0.22

License

GPL (>= 2)

Maintainer

Genaro Sucarrat

Last Published

April 1st, 2020

Functions in gets (0.22)

coef.isat

Extraction functions for 'isat' objects
diagnostics

Diagnostics tests
biascorr

Bias-correction of coefficients following general-to-specific model selection
eqwma

Equally Weighted Moving Average (EqWMA) of the pth. exponentiated values
eviews

Exporting results to EViews and STATA
dropvar

Drop variable
ES

Conditional Value-at-Risk (VaR) and Expected Shortfall (ES)
coef.gets

Extraction functions for 'gets' objects
getsFun

General-to-Specific (GETS) modelling function
gets-package

General-to-Specific (GETS) Modelling and Indicator Saturation Methods
arx

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

Extracting Indicator Saturation Breakdates
coef.arx

Extraction functions for 'arx' objects
gets

General-to-Specific (GETS) Modelling
paths

Extraction functions for 'arx', 'gets' and 'isat' objects
outliertest

Jiao and Pretis Outlier Proportion and Count Tests
getsm

General-to-Specific (GETS) Modelling of an AR-X model with log-ARCH-X errors
infldata

Quarterly Norwegian year-on-year CPI inflation
isatvar

Variance of the coefficient path
predict.arx

Forecasting with 'arx' models
isatvarcorrect

Consistency and Efficiency Correction for Impulse Indicator Saturation
hpdata

Hoover and Perez (1999) data
isat

Indicator Saturation
isvareffcor

IIS Efficiency Correction
periodicdummies

Make matrix of periodicity (e.g. seasonal) dummies
infocrit

Computes the Average Value of an Information Criterion
isvarcor

IIS Consistency Correction
outlierscaletest

Sum and Sup Scaling Outlier Tests
mvrnormsim

Simulate from a Multivariate Normal Distribution
printtex

Generate LaTeX code of an estimation result
iim

Make Indicator Matrices (Impulses, Steps, Trends)
vargaugeiis

Variance of the Impulse Indicator Saturation Gauge
recursive

Recursive estimation
ols

OLS estimation
isatloop

Repeated Impulse Indicator Saturation
isattest

Indicator Saturation Test
sp500data

Daily Standard and Poor's 500 index data
regressorsMean

Create the regressors of the mean equation
so2data

UK SO2 Data