create.ISmatrices

Internal function that constructs a list of indicator matrices used in indicator 
saturation (IIS, SIS, TIS, UIS) to be passed back towards <code>isat</code>.

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) <doi:10.18637/jss.v086.i03> for an overview of the package. In advanced use, the estimator and diagnostics tests can be fully user-specified, see Sucarrat (2021) <doi:10.32614/RJ-2021-024>.

Genaro Sucarrat

gets

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

Felix Pretis

James Reade

Jonas Kurle

Moritz Schwarz

create.ISmatrices function

<dl> <dt>iis</dt>
<dd>Logical values indicating whether to generate Impulse indicators.</dd> <dt>sis</dt>
<dd>Logical values indicating whether to generate Step indicators.</dd> <dt>tis</dt>
<dd>Logical values indicating whether to generate Trend indicators.</dd> <dt>uis</dt>
<dd>Taking the <code>uis</code> argument from <code>isat</code> for to process further.</dd> <dt>y.n</dt>
<dd>Sample size.</dd> <dt>y.index.as.char</dt>
<dd>The index of y as a character vector to retain any implied time series
 structure.</dd></dl>

Arguments

Internal function to construct Indicator Saturation Matrices — create.ISmatrices

<dl>

 <dt>iis</dt>
<dd>Logical values indicating whether to generate Impulse indicators.</dd>

 <dt>sis</dt>
<dd>Logical values indicating whether to generate Step indicators.</dd>

 <dt>tis</dt>
<dd>Logical values indicating whether to generate Trend indicators.</dd>

 <dt>uis</dt>
<dd>Taking the <code>uis</code> argument from <code>isat</code> for to process further.</dd>

 <dt>y.n</dt>
<dd>Sample size.</dd>

 <dt>y.index.as.char</dt>
<dd>The index of y as a character vector to retain any implied time series
 structure.</dd>

</dl>

create.ISmatrices: Internal function to construct Indicator Saturation Matrices

Description

Usage

Value

Arguments

See Also