AutoSEARCH: General-to-Specific (GETS) Modelling

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.

Author
Genaro Sucarrat
Date of publication
2015-03-27 23:49:39
Maintainer
Genaro Sucarrat <genaro.sucarrat@bi.no>
License
GPL-2
Version
1.5

View on CRAN

Man pages

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

Files in this package

AutoSEARCH
AutoSEARCH/NAMESPACE
AutoSEARCH/NEWS
AutoSEARCH/R
AutoSEARCH/R/gedestp.R
AutoSEARCH/R/skewness.test.R
AutoSEARCH/R/ols.fit1.R
AutoSEARCH/R/eqwma.R
AutoSEARCH/R/AutoSEARCH-internal.R
AutoSEARCH/R/gets.mean.R
AutoSEARCH/R/leqwma.R
AutoSEARCH/R/gLog.ep.R
AutoSEARCH/R/gLag.R
AutoSEARCH/R/info.criterion.R
AutoSEARCH/R/gets.vol.R
AutoSEARCH/R/ols.fit2.R
AutoSEARCH/R/sm.R
AutoSEARCH/R/jb.test.R
AutoSEARCH/R/regs.vol.sm.R
AutoSEARCH/R/gedlogl.R
AutoSEARCH/R/regs.mean.sm.R
AutoSEARCH/MD5
AutoSEARCH/DESCRIPTION
AutoSEARCH/man
AutoSEARCH/man/info.criterion.Rd
AutoSEARCH/man/regs.vol.sm.Rd
AutoSEARCH/man/eqwma.Rd
AutoSEARCH/man/jb.test.Rd
AutoSEARCH/man/gedestp.Rd
AutoSEARCH/man/skewness.test.Rd
AutoSEARCH/man/gLag.Rd
AutoSEARCH/man/ols.fit1.Rd
AutoSEARCH/man/AutoSEARCH-package.Rd
AutoSEARCH/man/gets.mean.Rd
AutoSEARCH/man/regs.mean.sm.Rd
AutoSEARCH/man/sm.Rd
AutoSEARCH/man/gLog.ep.Rd