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gets (version 0.5)

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.

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Version

Install

install.packages('gets')

Monthly Downloads

522

Version

0.5

License

GPL (>= 2)

Maintainer

Genaro Sucarrat

Last Published

February 29th, 2016

Functions in gets (0.5)

periodicdummies

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

Extraction functions for 'arx' objects
getsm

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

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

Indicator Saturation
gets-package

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

Exporting results to EViews and Stata
isattest

Indicator Saturation Test
arx

Estimate an AR-X model with log-ARCH-X errors
info.criterion

Computes the Value of an Information Criterion
recursive

Recursive estimation
diagnostics

Diagnostics tests of residuals
eqwma

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

Extraction functions for 'isat' objects
dropvar

Drop variable
iim

Make Indicator Matrices (Impulses, Steps, Trends)
hpdata

Hoover and Perez (1999) data
coef.gets

Extraction functions for 'gets' objects
jb.test

Jarque-Bera test for normality
ols

OLS estimation
isatvar

Variance of the coefficient path