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gets (version 0.9)

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

938

Version

0.9

License

GPL (>= 2)

Maintainer

Genaro Sucarrat

Last Published

October 3rd, 2016

Functions in gets (0.9)

coef.arx

Extraction functions for 'arx' objects
coef.gets

Extraction functions for 'gets' objects
iim

Make Indicator Matrices (Impulses, Steps, Trends)
info.criterion

Computes the Average Value of an Information Criterion
arx

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

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

Drop variable
eqwma

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

Variance of the coefficient path
ols

OLS estimation
paths

Extraction functions for 'gets' and 'isat' objects
isvarcor

IIS Consistency Correction
recursive

Recursive estimation
periodicdummies

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

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

Hoover and Perez (1999) data
eviews

Exporting results to EViews and Stata
gets-package

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

IIS Efficiency Correction
jb.test

Jarque-Bera test for normality
coef.isat

Extraction functions for 'isat' objects
diagnostics

Diagnostics tests of residuals
isat

Indicator Saturation
isattest

Indicator Saturation Test