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>.
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6.48 score 10 stars 3 dependents 113 scripts 634 downloadsgarchx - 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 (2019) <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 <doi:10.32614/RJ-2021-057> for an overview of the package.
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4.13 score 3 stars 1 dependents 10 scripts 347 downloads