Package: gets 0.39

Genaro Sucarrat

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

Automated General-to-Specific (GETS) modelling of the mean and variance of a regression, and indicator saturation methods for detecting and testing for structural breaks in the mean, see Pretis, Reade and Sucarrat (2018) <doi:10.18637/jss.v086.i03> for an overview of the package. In advanced use, the estimator and diagnostics tests can be fully user-specified, see Sucarrat (2021) <doi:10.32614/RJ-2021-024>.

Authors:Genaro Sucarrat [aut, cre], Felix Pretis [aut], James Reade [aut], Jonas Kurle [ctb], Moritz Schwarz [ctb]

gets_0.39.tar.gz
gets_0.39.zip(r-4.7)gets_0.39.zip(r-4.6)gets_0.39.zip(r-4.5)
gets_0.39.tgz(r-4.6-any)gets_0.39.tgz(r-4.5-any)
gets_0.39.tar.gz(r-4.7-any)gets_0.39.tar.gz(r-4.6-any)
gets_0.39.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
gets/json (API)
NEWS

# Install 'gets' in R:
install.packages('gets', repos = c('https://gsucarrat.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/gsucarrat/gets/issues

Datasets:
  • hpdata - Hoover and Perez (1999) data
  • infldata - Quarterly Norwegian year-on-year CPI inflation
  • so2data - UK SO2 Data
  • sp500data - Daily Standard and Poor's 500 index data

On CRAN:

Conda:

6.48 score 10 stars 3 packages 113 scripts 634 downloads 1 mentions 116 exports 2 dependencies

Last updated from:01a94873dd. Checks:7 WARNING, 1 ERROR, 1 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64WARNING128
source / vignettesERROR197
linux-release-x86_64WARNING133
macos-release-arm64WARNING110
macos-oldrel-arm64WARNING117
windows-develWARNING131
windows-releaseWARNING98
windows-oldrelWARNING87
wasm-releaseOK110

Exports:arxas.arxas.arx.lmas.lmbiascorrblocksFuncoef.arxcoef.getscoef.isatcoef.larchcoef.logitxdiagnosticsdistorttestdistorttestbootdlogitxdlogitxSimdropvareqwmaESeviewsfitted.arxfitted.getsfitted.isatfitted.larchfitted.logitxgetsgets.arxgets.isatgets.larchgets.lmgets.logitxgetsFungetsmgetsvgmmiiminfo.criterioninfocritisatisat.arxisat.defaultisat.lmisatdatesisatloopisattestisatvarisatvarcorrectisvarcorisvareffcorlarchlarchEstfunleqwmalogitlogitxlogitxSimlogLik.arxlogLik.isatlogLik.larchlogLik.logitxmodel.matrix.arxmodel.matrix.larchmvrnormsimnobs.arxnobs.larcholsoutlierscaletestoutliertestpathsperiodicdummiesplot.arxplot.getsplot.isatplot.larchplot.logitxpredict.arxpredict.getspredict.isatpredict.larchprint.arxprint.distorttestbootprint.getsprint.isatprint.larchprint.logitxprinttexrecursiveregressorsMeanregressorsVarianceresiduals.arxresiduals.getsresiduals.isatresiduals.larchrsquaredsigma.arxsigma.getssigma.isatsimstatasummary.arxsummary.getssummary.isatsummary.larchsummary.logitxterminalstimtoLatex.arxtoLatex.getstoLatex.larchtoLatex.logitxVaRvargaugeiisvcov.arxvcov.getsvcov.isatvcov.larchvcov.logitx

Dependencies:latticezoo

Readme and manuals

Help Manual

Help pageTopics
General-to-Specific (GETS) and Indicator Saturation (ISAT) Modellinggets-package
Estimate an AR-X model with log-ARCH-X errorsarx
Convert an object to class 'arx'as.arx as.arx.lm
Convert to 'lm' objectas.lm
Bias-correction of coefficients following general-to-specific model selectionbiascorr
Block-based General-to-Specific (GETS) modellingblocksFun
Extraction functions for 'arx' objectscoef.arx fitted.arx logLik.arx model.matrix.arx nobs.arx plot.arx print.arx residuals.arx sigma.arx summary.arx vcov.arx
Extraction functions for 'gets' objectscoef.gets fitted.gets logLik.gets plot.gets predict.gets print.gets residuals.gets sigma.gets summary.gets vcov.gets
Extraction functions for 'isat' objectscoef.isat fitted.isat logLik.isat plot.isat predict.isat print.isat residuals.isat sigma.isat summary.isat vcov.isat
Methods and extraction functions for 'larch' objectscoef.larch fitted.larch logLik.larch model.matrix.larch nobs.larch plot.larch print.larch residuals.larch summary.larch toLatex.larch vcov.larch
Extraction functions for 'logitx' objectscoef.logitx fitted.logitx logLik.logitx plot.logitx print.logitx summary.logitx toLatex.logitx vcov.logitx
Internal function to construct Indicator Saturation Matricescreate.ISmatrices
Diagnostics testsdiagnostics
Jiao-Pretis-Schwarz Outlier Distortion Testdistorttest
Bootstrapped Jiao-Pretis-Schwarz Outlier Distortion Testdistorttestboot print.distorttestboot
Drop variabledropvar
Equally Weighted Moving Average (EqWMA) of the pth. exponentiated valueseqwma leqwma
Conditional Value-at-Risk (VaR) and Expected Shortfall (ES)ES VaR
Exporting results to EViews and STATAeviews stata
General-to-Specific (GETS) Modellinggets gets.arx
General-to-Specific (GETS) Modelling 'isat' objectsgets.isat
General-to-Specific (GETS) Modelling of a heterogeneous log-ARCH-X modelgets.larch
General-to-Specific (GETS) Modelling 'lm' objectsgets.lm
General-to-Specific (GETS) Modelling of objects of class 'logitx'gets.logitx
General-to-Specific (GETS) modelling functiongetsFun
General-to-Specific (GETS) Modelling of an AR-X model (the mean specification) with log-ARCH-X errors (the log-variance specification).getsm getsv
Generalised Method of Moment (GMM) estimation of linear modelsgmm
Hoover and Perez (1999) datahpdata
Make Indicator Matrices (Impulses, Steps, Trends)iim sim tim
Quarterly Norwegian year-on-year CPI inflationinfldata
Computes the Average Value of an Information Criterioninfo.criterion infocrit
Internal function to carry out additional Block Search in isat: Leave-One-Out Block Search for Excessive IndicatorsISadditionalblocksearch
Indicator Saturationisat isat.arx isat.default isat.lm
Extracting Indicator Saturation Breakdatesisatdates
Repeated Impulse Indicator Saturationisatloop
Indicator Saturation Testisattest
Variance of the coefficient pathisatvar
Consistency and Efficiency Correction for Impulse Indicator Saturationisatvarcorrect
Internal function to carry out the block-wise GETS searchISblocksFun
Internal function to loop Over Indicator Saturation Matrices with Block-Based GETSISMatricesLoop
IIS Consistency Correctionisvarcor
IIS Efficiency Correctionisvareffcor
Estimate a heterogeneous log-ARCH-X modellarch
Estimation of a log-variance modellarchEstfun
Estimation of a logit modellogit
Estimate an autoregressive logit model with covariatesdlogitx logitx
Simulate from a dynamic logit-x modeldlogitxSim logitxSim
Simulate from a Multivariate Normal Distributionmvrnormsim
OLS estimationols
Sum and Sup Scaling Outlier Testsoutlierscaletest
Jiao and Pretis Outlier Proportion and Count Testsoutliertest
Extraction functions for 'arx', 'gets' and 'isat' objectspaths rsquared terminals
Make matrix of periodicity (e.g. seasonal) dummiesperiodicdummies
Forecasting with 'arx' modelspredict.arx
Variance forecasting with 'larch' modelspredict.larch
Generate LaTeX code of an estimation resultprinttex toLatex.arx toLatex.gets
Recursive estimationrecursive
Create the regressors of the mean equationregressorsMean
Create regressors for a log-variance modelregressorsVariance
UK SO2 Dataso2data
Daily Standard and Poor's 500 index datasp500data
Variance of the Impulse Indicator Saturation Gaugevargaugeiis