General-to-Specific (GETS) Modelling


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AutoSEARCH-package General-to-Specific (GETS) Modelling
AutoSEARCH General-to-Specific (GETS) Modelling
eqwma Equally Weighted Moving Average (EqWMA) of the pth. exponentiated values
gedestp Estimate and compute log-likelihood of the standardised Generalised Error Distribution (GED)
gedlogl Estimate and compute log-likelihood of the standardised Generalised Error Distribution (GED)
gets.mean General-to-Specific (GETS) Modelling of an AR-X model with log-ARCH-X errors
gets.vol General-to-Specific (GETS) Modelling of an AR-X model with log-ARCH-X errors
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
leqwma Equally Weighted Moving Average (EqWMA) of the pth. exponentiated values
ols.fit1 Fast and accurate OLS estimation by means of QR decomposition
ols.fit2 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