General-to-Specific (GETS) modelling of the mean and variance of a regression. NOTE: The package has been succeeded by gets, also available on the CRAN, which is more user-friendly, faster and easier to extend. Users are therefore encouraged to consider gets instead.
|Date of publication||2015-03-27 23:49:39|
|Maintainer||Genaro Sucarrat <email@example.com>|
AutoSEARCH-package: General-to-Specific (GETS) Modelling
eqwma: Equally Weighted Moving Average (EqWMA) of the pth....
gedestp: Estimate and compute log-likelihood of the standardised...
gets.mean: General-to-Specific (GETS) Modelling of an AR-X model with...
gLag: Lag a series
gLog.ep: Adjust for zero values and compute log(abs(e)^p)
info.criterion: Computes the Value of an Information Criterion
jb.test: Jarque-Bera test for normality
ols.fit1: Fast and accurate OLS estimation by means of QR decomposition
regs.mean.sm: Create the regressors of an AR-X model
regs.vol.sm: Create the regressors of a log-ARCH-X model
skewness.test: Chi-squared test for skewness in the standardised residuals
sm: Estimate an AR-X Model with Log-ARCH-X Errors