gets (version 0.1)

gets-package: General-to-Specific (GETS) Model Selection

Description

Automated multi-path General-to-Specific (GETS) model selection of an AR-X model with log-ARCH-X errors. The three main functions of the package are arx, getsm and getsv. The arx function returns an object of the 'arx' class, i.e. a model with an AR-X specification in the mean and a log-ARCH-X specification of the log-variance. The second function getsm undertakes GETS model selection of the mean specification of an arx object, and returns an object of the 'gets' class. The third function getsv undertakes GETS model selection of the log-variance specification of an arx object (or alternatively of a gets object obtained with the getsm function), and returns an object of the 'gets' class. The package also provides auxiliary functions used by arx, getsm and getsv, in addition to extraction functions (mainly S3 methods) that can be applied to objects of the 'arx' and 'gets' classes.

Details

ll{ Package: gets Type: Package Version: 0.1 Date: 2014-10-14 License: GPL-2 } The code was originally developed in relation with G. Sucarrat and A. Escribano (2012): 'Automated Financial Model Selection: General-to-Specific Modelling of the Mean and Volatility Specifications', Oxford Bulletin of Economics and Statistics 74, Issue 5 (October), pp. 716-735.

References

G. Sucarrat and A. Escribano (2012): 'Automated Financial Model Selection: General-to-Specific Modelling of the Mean and Volatility Specifications', Oxford Bulletin of Economics and Statistics 74, Issue 5 (October), pp. 716-735

See Also

arx, getsm, getsv

Examples

##Simulate from an AR(1):
set.seed(123)
y <- arima.sim(list(ar=0.4), 100)

##Estimate an AR(2) with intercept as mean specification
##and a log-ARCH(4) as log-volatility specification:
myModel <- arx(y, mc=TRUE, ar=1:2, arch=1:4)

##GETS model selection of the mean of myModel:
simpleMean <- getsm(myModel)

##GETS model selection of the log-variance of simpleMean:
simpleVar <- getsv(simpleMean)

##results:
print(simpleMean)
print(simpleVar)