gets0.38 package

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

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

General-to-Specific (GETS) Modelling 'isat' objects

General-to-Specific (GETS) Modelling of a heterogeneous log-ARCH-X mod...

Diagnostics tests

Variance of the coefficient path

Convert an object to class 'arx'

Convert to 'lm' object

Bias-correction of coefficients following general-to-specific model se...

Block-based General-to-Specific (GETS) modelling

Extraction functions for 'arx' objects

Extraction functions for 'gets' objects

Extraction functions for 'isat' objects

Methods and extraction functions for 'larch' objects

Extraction functions for 'logitx' objects

Jiao-Pretis-Schwarz Outlier Distortion Test

Bootstrapped Jiao-Pretis-Schwarz Outlier Distortion Test

Drop variable

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

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

Exporting results to EViews and STATA

General-to-Specific (GETS) Modelling 'lm' objects

General-to-Specific (GETS) Modelling of objects of class 'logitx'

General-to-Specific (GETS) Modelling

General-to-Specific (GETS) modelling function

General-to-Specific (GETS) Modelling of an AR-X model (the mean specif...

Generalised Method of Moment (GMM) estimation of linear models

Consistency and Efficiency Correction for Impulse Indicator Saturation

Make Indicator Matrices (Impulses, Steps, Trends)

Computes the Average Value of an Information Criterion

Indicator Saturation

Extracting Indicator Saturation Breakdates

Repeated Impulse Indicator Saturation

Indicator Saturation Test

IIS Consistency Correction

IIS Efficiency Correction

Estimate a heterogeneous log-ARCH-X model

Estimation of a log-variance model

Estimation of a logit model

Estimate an autoregressive logit model with covariates

Simulate from a dynamic logit-x model

Simulate from a Multivariate Normal Distribution

OLS estimation

Sum and Sup Scaling Outlier Tests

Jiao and Pretis Outlier Proportion and Count Tests

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

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

Forecasting with 'arx' models

Variance forecasting with 'larch' models

Generate LaTeX code of an estimation result

Recursive estimation

Create the regressors of the mean equation

Create regressors for a log-variance model

Variance of the Impulse Indicator Saturation Gauge