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

arx | Estimate an AR-X model with log-ARCH-X errors |

biascorr | Bias-correction of coefficients following general-to-specific... |

coef.arx | Extraction functions for 'arx' objects |

coef.gets | Extraction functions for 'gets' objects |

coef.isat | Extraction functions for 'isat' objects |

diagnostics | Diagnostics tests |

dropvar | Drop variable |

eqwma | Equally Weighted Moving Average (EqWMA) of the pth.... |

ES | Conditional Value-at-Risk (VaR) and Expected Shortfall (ES) |

eviews | Exporting results to EViews and STATA |

gets | General-to-Specific (GETS) Modelling |

getsFun | General-to-Specific (GETS) modelling function |

getsm | General-to-Specific (GETS) Modelling of an AR-X model with... |

gets-package | General-to-Specific (GETS) Modelling and Indicator Saturation... |

hpdata | Hoover and Perez (1999) data |

iim | Make Indicator Matrices (Impulses, Steps, Trends) |

infldata | Quarterly Norwegian year-on-year CPI inflation |

infocrit | Computes the Average Value of an Information Criterion |

isat | Indicator Saturation |

isattest | Indicator Saturation Test |

isatvar | Variance of the coefficient path |

isvarcor | IIS Consistency Correction |

isvareffcor | IIS Efficiency Correction |

ols | OLS estimation |

paths | Extraction functions for 'arx', 'gets' and 'isat' objects |

periodicdummies | Make matrix of periodicity (e.g. seasonal) dummies |

recursive | Recursive estimation |

so2data | UK SO2 Data |

sp500data | Daily Standard and Poor's 500 index data |

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