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>.

Last updated 4 months ago

6.76 score 8 stars 3 packages 70 scripts 1.1k downloads

garchx - Flexible and Robust GARCH-X Modelling

Flexible and robust estimation and inference of generalised autoregressive conditional heteroscedasticity (GARCH) models with covariates ('X') based on the results by Francq and Thieu (2018) <doi:10.1017/S0266466617000512>. Coefficients can straightforwardly be set to zero by omission, and quasi maximum likelihood methods ensure estimates are generally consistent and inference valid, even when the standardised innovations are non-normal and/or dependent over time, see <https://journal.r-project.org/archive/2021/RJ-2021-057/RJ-2021-057.pdf> for an overview of the package.

Last updated 2 years ago

3.48 score 2 stars 1 packages 5 scripts 358 downloads

gfunctions - G-Functions

Modified versions of the lag() and summary() functions: glag() and gsummary(). The prefix 'g' is a reminder of who to blame if things do not work as they should.

Last updated 7 months ago

1.00 score 143 downloads