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gets (version 0.4)

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

0.4

License

GPL (>= 2)

Maintainer

Genaro Sucarrat

Last Published

December 19th, 2015

Functions in gets (0.4)

iim

Make Indicator Matrices (Impulses, Steps, Trends)
eviews

Exporting results to EViews and Stata
isattest

Indicator Saturation Test
recursive

Recursive estimation
isatvar

Variance of the coefficient path
isat

Indicator Saturation
gets-package

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

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

OLS estimation
coef.arx

Extraction functions for 'arx' objects
dropvar

Drop variable
info.criterion

Computes the Value of an Information Criterion
hpdata

Hoover and Perez (1999) data
eqwma

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

Jarque-Bera test for normality
diagnostics

Diagnostics tests of residuals
coef.gets

Extraction functions for 'gets' objects
arx

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

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