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

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Documentation for package ‘gets’ version 0.38

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

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A B C D E F G H I L M N O P R S T V

gets-package

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

-- A --

arx	Estimate an AR-X model with log-ARCH-X errors
as.arx	Convert an object to class 'arx'
as.arx.lm	Convert an object to class 'arx'
as.lm	Convert to 'lm' object

-- B --

biascorr	Bias-correction of coefficients following general-to-specific model selection
blocksFun	Block-based General-to-Specific (GETS) modelling

-- C --

coef.arx	Extraction functions for 'arx' objects
coef.gets	Extraction functions for 'gets' objects
coef.isat	Extraction functions for 'isat' objects
coef.larch	Methods and extraction functions for 'larch' objects
coef.logitx	Extraction functions for 'logitx' objects

-- D --

diagnostics	Diagnostics tests
distorttest	Jiao-Pretis-Schwarz Outlier Distortion Test
distorttestboot	Bootstrapped Jiao-Pretis-Schwarz Outlier Distortion Test
dlogitx	Estimate an autoregressive logit model with covariates
dlogitxSim	Simulate from a dynamic logit-x model
dropvar	Drop variable

-- E --

eqwma	Equally Weighted Moving Average (EqWMA) of the pth. exponentiated values
ES	Conditional Value-at-Risk (VaR) and Expected Shortfall (ES)
eviews	Exporting results to EViews and STATA

-- F --

fitted.arx	Extraction functions for 'arx' objects
fitted.gets	Extraction functions for 'gets' objects
fitted.isat	Extraction functions for 'isat' objects
fitted.larch	Methods and extraction functions for 'larch' objects
fitted.logitx	Extraction functions for 'logitx' objects

-- G --

gets	General-to-Specific (GETS) Modelling
gets.arx	General-to-Specific (GETS) Modelling
gets.isat	General-to-Specific (GETS) Modelling 'isat' objects
gets.larch	General-to-Specific (GETS) Modelling of a heterogeneous log-ARCH-X model
gets.lm	General-to-Specific (GETS) Modelling 'lm' objects
gets.logitx	General-to-Specific (GETS) Modelling of objects of class 'logitx'
getsFun	General-to-Specific (GETS) modelling function
getsm	General-to-Specific (GETS) Modelling of an AR-X model (the mean specification) with log-ARCH-X errors (the log-variance specification).
getsv	General-to-Specific (GETS) Modelling of an AR-X model (the mean specification) with log-ARCH-X errors (the log-variance specification).
gmm	Generalised Method of Moment (GMM) estimation of linear models

-- H --

hpdata

Hoover and Perez (1999) data

-- I --

iim	Make Indicator Matrices (Impulses, Steps, Trends)
infldata	Quarterly Norwegian year-on-year CPI inflation
info.criterion	Computes the Average Value of an Information Criterion
infocrit	Computes the Average Value of an Information Criterion
isat	Indicator Saturation
isat.arx	Indicator Saturation
isat.default	Indicator Saturation
isat.lm	Indicator Saturation
isatdates	Extracting Indicator Saturation Breakdates
isatloop	Repeated Impulse Indicator Saturation
isattest	Indicator Saturation Test
isatvar	Variance of the coefficient path
isatvarcorrect	Consistency and Efficiency Correction for Impulse Indicator Saturation
isvarcor	IIS Consistency Correction
isvareffcor	IIS Efficiency Correction

-- L --

larch	Estimate a heterogeneous log-ARCH-X model
larchEstfun	Estimation of a log-variance model
leqwma	Equally Weighted Moving Average (EqWMA) of the pth. exponentiated values
logit	Estimation of a logit model
logitx	Estimate an autoregressive logit model with covariates
logitxSim	Simulate from a dynamic logit-x model
logLik.arx	Extraction functions for 'arx' objects
logLik.gets	Extraction functions for 'gets' objects
logLik.isat	Extraction functions for 'isat' objects
logLik.larch	Methods and extraction functions for 'larch' objects
logLik.logitx	Extraction functions for 'logitx' objects

-- M --

model.matrix.arx	Extraction functions for 'arx' objects
model.matrix.larch	Methods and extraction functions for 'larch' objects
mvrnormsim	Simulate from a Multivariate Normal Distribution

-- N --

nobs.arx	Extraction functions for 'arx' objects
nobs.larch	Methods and extraction functions for 'larch' objects

-- O --

ols	OLS estimation
outlierscaletest	Sum and Sup Scaling Outlier Tests
outliertest	Jiao and Pretis Outlier Proportion and Count Tests

-- P --

paths	Extraction functions for 'arx', 'gets' and 'isat' objects
periodicdummies	Make matrix of periodicity (e.g. seasonal) dummies
plot.arx	Extraction functions for 'arx' objects
plot.gets	Extraction functions for 'gets' objects
plot.isat	Extraction functions for 'isat' objects
plot.larch	Methods and extraction functions for 'larch' objects
plot.logitx	Extraction functions for 'logitx' objects
predict.arx	Forecasting with 'arx' models
predict.gets	Extraction functions for 'gets' objects
predict.isat	Extraction functions for 'isat' objects
predict.larch	Variance forecasting with 'larch' models
print.arx	Extraction functions for 'arx' objects
print.distorttestboot	Bootstrapped Jiao-Pretis-Schwarz Outlier Distortion Test
print.gets	Extraction functions for 'gets' objects
print.isat	Extraction functions for 'isat' objects
print.larch	Methods and extraction functions for 'larch' objects
print.logitx	Extraction functions for 'logitx' objects
printtex	Generate LaTeX code of an estimation result

-- R --

recursive	Recursive estimation
regressorsMean	Create the regressors of the mean equation
regressorsVariance	Create regressors for a log-variance model
residuals.arx	Extraction functions for 'arx' objects
residuals.gets	Extraction functions for 'gets' objects
residuals.isat	Extraction functions for 'isat' objects
residuals.larch	Methods and extraction functions for 'larch' objects
rsquared	Extraction functions for 'arx', 'gets' and 'isat' objects

-- S --

sigma.arx	Extraction functions for 'arx' objects
sigma.gets	Extraction functions for 'gets' objects
sigma.isat	Extraction functions for 'isat' objects
sim	Make Indicator Matrices (Impulses, Steps, Trends)
so2data	UK SO2 Data
sp500data	Daily Standard and Poor's 500 index data
stata	Exporting results to EViews and STATA
summary.arx	Extraction functions for 'arx' objects
summary.gets	Extraction functions for 'gets' objects
summary.isat	Extraction functions for 'isat' objects
summary.larch	Methods and extraction functions for 'larch' objects
summary.logitx	Extraction functions for 'logitx' objects

-- T --

terminals	Extraction functions for 'arx', 'gets' and 'isat' objects
tim	Make Indicator Matrices (Impulses, Steps, Trends)
toLatex.arx	Generate LaTeX code of an estimation result
toLatex.gets	Generate LaTeX code of an estimation result
toLatex.larch	Methods and extraction functions for 'larch' objects
toLatex.logitx	Extraction functions for 'logitx' objects

-- V --

VaR	Conditional Value-at-Risk (VaR) and Expected Shortfall (ES)
vargaugeiis	Variance of the Impulse Indicator Saturation Gauge
vcov.arx	Extraction functions for 'arx' objects
vcov.gets	Extraction functions for 'gets' objects
vcov.isat	Extraction functions for 'isat' objects
vcov.larch	Methods and extraction functions for 'larch' objects
vcov.logitx	Extraction functions for 'logitx' objects