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gets (version 0.29)

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

692

Version

0.29

License

GPL (>= 2)

Maintainer

Genaro Sucarrat

Last Published

September 2nd, 2021

Functions in gets (0.29)

coef.gets

Extraction functions for 'gets' objects
biascorr

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

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

Extraction functions for 'dlogitx' objects
coef.arx

Extraction functions for 'arx' objects
arx

Estimate an AR-X model with log-ARCH-X errors
coef.isat

Extraction functions for 'isat' objects
as.arx

Convert an object to class 'arx'
as.lm

Convert to 'lm' object
blocksFun

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

Simulate from a dynamic logit-x model
gets.dlogitx

General-to-Specific (GETS) Modelling of objects of class 'dlogitx'
gets-package

General-to-Specific Modelling and Indicator Saturation Methods
diagnostics

Diagnostics tests
eqwma

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

Exporting results to EViews and STATA
dlogitx

Estimate an autoregressive logit model with covariates
gets.isat

General-to-Specific (GETS) Modelling 'isat' objects
dropvar

Drop variable
gets

General-to-Specific (GETS) Modelling
getsm

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

General-to-Specific (GETS) Modelling 'lm' objects
infocrit

Computes the Average Value of an Information Criterion
getsFun

General-to-Specific (GETS) modelling function
gmm

Generalised Method of Moment (GMM) estimation of linear models
isat

Indicator Saturation
infldata

Quarterly Norwegian year-on-year CPI inflation
iim

Make Indicator Matrices (Impulses, Steps, Trends)
isatdates

Extracting Indicator Saturation Breakdates
hpdata

Hoover and Perez (1999) data
isatloop

Repeated Impulse Indicator Saturation
mvrnormsim

Simulate from a Multivariate Normal Distribution
logit

Estimation of a logit model
outlierscaletest

Sum and Sup Scaling Outlier Tests
ols

OLS estimation
isvareffcor

IIS Efficiency Correction
isvarcor

IIS Consistency Correction
isatvar

Variance of the coefficient path
outliertest

Jiao and Pretis Outlier Proportion and Count Tests
isatvarcorrect

Consistency and Efficiency Correction for Impulse Indicator Saturation
paths

Extraction functions for 'arx', 'gets' and 'isat' objects
sp500data

Daily Standard and Poor's 500 index data
so2data

UK SO2 Data
regressorsVariance

Create the regressors of the variance equation
regressorsMean

Create the regressors of the mean equation
recursive

Recursive estimation
printtex

Generate LaTeX code of an estimation result
isattest

Indicator Saturation Test
periodicdummies

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

Forecasting with 'arx' models
vargaugeiis

Variance of the Impulse Indicator Saturation Gauge