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 |
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 |
biascorr | Bias-correction of coefficients following general-to-specific model selection |
blocksFun | Block-based General-to-Specific (GETS) modelling |
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 |
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 |
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 |
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 |
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 |
hpdata | Hoover and Perez (1999) data |
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 |
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 |
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 |
nobs.arx | Extraction functions for 'arx' objects |
nobs.larch | Methods and extraction functions for 'larch' objects |
ols | OLS estimation |
outlierscaletest | Sum and Sup Scaling Outlier Tests |
outliertest | Jiao and Pretis Outlier Proportion and Count Tests |
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 |
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 |
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 |
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 |
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 |