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gets (version 0.26)

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, see Pretis, Reade and Sucarrat (2018) .

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Version

Install

install.packages('gets')

Monthly Downloads

736

Version

0.26

License

GPL (>= 2)

Homepage

https://CRAN.R-project.org/package=gets

Maintainer

Genaro Sucarrat

Last Published

October 14th, 2020

Functions in gets (0.26)

Convert to 'lm' object

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

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

Extraction functions for 'gets' objects

Diagnostics tests

Extraction functions for 'isat' objects

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

Block-based General-to-Specific (GETS) modelling

Extraction functions for 'arx' objects

Generalised Method of Moment (GMM) estimation of linear models

General-to-Specific (GETS) Modelling of an AR-X model (the mean specification) with log-ARCH-X errors (the log-variance specification).

General-to-Specific (GETS) modelling function

Hoover and Perez (1999) data

Exporting results to EViews and STATA

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

IIS Efficiency Correction

Simulate from a Multivariate Normal Distribution

Computes the Average Value of an Information Criterion

General-to-Specific Modelling and Indicator Saturation Methods

General-to-Specific (GETS) Modelling

Indicator Saturation

Make Indicator Matrices (Impulses, Steps, Trends)

Quarterly Norwegian year-on-year CPI inflation

Generate LaTeX code of an estimation result

Recursive estimation

IIS Consistency Correction

Consistency and Efficiency Correction for Impulse Indicator Saturation

Daily Standard and Poor's 500 index data

periodicdummies

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

Forecasting with 'arx' models

outlierscaletest

Sum and Sup Scaling Outlier Tests

Extracting Indicator Saturation Breakdates

Repeated Impulse Indicator Saturation

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

Jiao and Pretis Outlier Proportion and Count Tests

Indicator Saturation Test

Create the regressors of the mean equation

regressorsVariance

Create the regressors of the variance equation

Variance of the coefficient path

Variance of the Impulse Indicator Saturation Gauge