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gets (version 0.3)

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 and testing for structural breaks in the mean.

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Version

Install

install.packages('gets')

Monthly Downloads

522

Version

0.3

License

GPL-2

Maintainer

Genaro Sucarrat

Last Published

November 26th, 2015

Functions in gets (0.3)

ols

OLS estimation

biascorr

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

iim

Make Indicator Matrices (Impulses, Steps, Trends)

hpdata

Hoover and Perez (1999) data

getsm

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

isat

Indicator Saturation

eqwma

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

jb.test

Jarque-Bera test for normality

gets-package

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

isattest

Indicator Saturation Test

dropvar

Drop variable

coef.arx

Extraction functions for 'arx' objects

diagnostics

Diagnostics tests of residuals

isatvar

Variance of the coefficient path

info.criterion

Computes the Value of an Information Criterion

coef.gets

Extraction functions for 'gets' objects

arx

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