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AutoSEARCH (version 1.5)

General-to-Specific (GETS) Modelling

Description

General-to-Specific (GETS) modelling of the mean and variance of a regression. NOTE: The package has been succeeded by gets, also available on the CRAN, which is more user-friendly, faster and easier to extend. Users are therefore encouraged to consider gets instead.

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Version

Install

install.packages('AutoSEARCH')

Monthly Downloads

83

Version

1.5

License

GPL-2

Maintainer

Genaro Sucarrat

Last Published

March 27th, 2015

Functions in AutoSEARCH (1.5)

eqwma

Equally Weighted Moving Average (EqWMA) of the pth. exponentiated values
gLog.ep

Adjust for zero values and compute log(abs(e)^p)
skewness.test

Chi-squared test for skewness in the standardised residuals
regs.vol.sm

Create the regressors of a log-ARCH-X model
jb.test

Jarque-Bera test for normality
ols.fit1

Fast and accurate OLS estimation by means of QR decomposition
gLag

Lag a series
regs.mean.sm

Create the regressors of an AR-X model
gets.mean

General-to-Specific (GETS) Modelling of an AR-X model with log-ARCH-X errors
gedestp

Estimate and compute log-likelihood of the standardised Generalised Error Distribution (GED)
info.criterion

Computes the Value of an Information Criterion
AutoSEARCH-package

General-to-Specific (GETS) Modelling
sm

Estimate an AR-X Model with Log-ARCH-X Errors