Package: gets
Type: Package
Title: General-to-Specific (GETS) Modelling and Indicator Saturation
        Methods
Version: 0.2
Depends: R (>= 2.4.1), zoo
Suggests: lgarch
Date: 2014-12-22
Author: Felix Pretis, James Reade, Genaro Sucarrat
Maintainer: Genaro Sucarrat <genaro.sucarrat@bi.no>
Description: Automated multi-path General-to-Specific (GETS) modelling of the mean and variance of a regression, and indicator saturation methods for detecting structural breaks in the mean. The mean can be specified as an autoregressive model with covariates (an 'AR-X' model), and the variance can be specified as a log-variance model with covariates (a 'log-ARCH-X' model). The four main functions of the package are arx, getsm, getsv and isat. The first function, arx, estimates an AR-X model with log-ARCH-X errors. The second function, getsm, undertakes GETS model selection of the mean specification of an arx object. The third function, getsv, undertakes GETS model selection of the log-variance specification of an arx object. The fourth function, isat, undertakes GETS model selection of an indicator saturated mean specification.
License: GPL-2
Packaged: 2014-12-22 09:31:07 UTC; admin
NeedsCompilation: no
Repository: CRAN
Date/Publication: 2014-12-22 14:01:56
Built: R 3.1.2; ; 2014-12-23 12:38:38 UTC; unix
