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gets (version 0.36)

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

0.36

License

GPL (>= 2)

Maintainer

Genaro Sucarrat

Last Published

July 3rd, 2022

Functions in gets (0.36)

blocksFun

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

Bias-correction of coefficients following general-to-specific model selection
coef.logitx

Extraction functions for 'logitx' objects
coef.gets

Extraction functions for 'gets' objects
as.lm

Convert to 'lm' object
coef.isat

Extraction functions for 'isat' objects
ES

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

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

Extraction functions for 'arx' objects
as.arx

Convert an object to class 'arx'
distorttestboot

Bootstrapped Jiao-Pretis-Schwarz Outlier Distortion Test
eqwma

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

General-to-Specific (GETS) and Indicator Saturation (ISAT) Modelling
gets.isat

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

Diagnostics tests
gets

General-to-Specific (GETS) Modelling
gets.lm

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

Drop variable
distorttest

Jiao-Pretis-Schwarz Outlier Distortion Test
eviews

Exporting results to EViews and STATA
infldata

Quarterly Norwegian year-on-year CPI inflation
infocrit

Computes the Average Value of an Information Criterion
gets.logitx

General-to-Specific (GETS) Modelling of objects of class 'logitx'
getsm

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

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

General-to-Specific (GETS) modelling function
hpdata

Hoover and Perez (1999) data
iim

Make Indicator Matrices (Impulses, Steps, Trends)
isat

Indicator Saturation
isatdates

Extracting Indicator Saturation Breakdates
isatvar

Variance of the coefficient path
logitxSim

Simulate from a dynamic logit-x model
isvarcor

IIS Consistency Correction
isatvarcorrect

Consistency and Efficiency Correction for Impulse Indicator Saturation
logit

Estimation of a logit model
isvareffcor

IIS Efficiency Correction
mvrnormsim

Simulate from a Multivariate Normal Distribution
ols

OLS estimation
isatloop

Repeated Impulse Indicator Saturation
outlierscaletest

Sum and Sup Scaling Outlier Tests
logitx

Estimate an autoregressive logit model with covariates
regressorsMean

Create the regressors of the mean equation
isattest

Indicator Saturation Test
vargaugeiis

Variance of the Impulse Indicator Saturation Gauge
outliertest

Jiao and Pretis Outlier Proportion and Count Tests
paths

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

Create the regressors of the variance equation
periodicdummies

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

Generate LaTeX code of an estimation result
predict.arx

Forecasting with 'arx' models
recursive

Recursive estimation
so2data

UK SO2 Data
sp500data

Daily Standard and Poor's 500 index data