General-to-Specific (GETS) Modelling and Indicator Saturation
Methods
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Documentation for package ‘gets’ version 0.37
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A B C D E F G H I L M 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.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.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.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 --
| 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.logitx | Extraction functions for 'logitx' objects |
-- M --
| model.matrix.arx | Extraction functions for 'arx' objects |
| mvrnormsim | Simulate from a Multivariate Normal Distribution |
-- 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.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 |
| 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.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 the regressors of the variance equation |
| residuals.arx | Extraction functions for 'arx' objects |
| residuals.gets | Extraction functions for 'gets' objects |
| residuals.isat | Extraction functions for 'isat' 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.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.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.logitx | Extraction functions for 'logitx' objects |