AutoSEARCH (version 1.5)

AutoSEARCH-package: General-to-Specific (GETS) Modelling

Description

GETS modelling of the mean and variance of a regression.

NOTE: The package has been succeeded by the package gets, also available on the CRAN, which is more user-friendly, faster and easier to extend. The development focus has switched to gets, so users are therefore encouraged to consider gets instead.

Details

Package:

AutoSEARCH

Type:

Package

Version:

1.5

Date:

2015-03-27

License:

GPL-2

LazyLoad:

yes

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

AutoSEARCH package: sm, gets.mean, gets.vol gets package: arx, getsm, getsv, isat

Examples

#Generate from AR(1) model:
set.seed(123)
y <- arima.sim(list(ar=0.4), 200)

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

#General-to-Specific model selection of the mean:
mymodel <- gets.mean(y, mc=TRUE, ar=1:2, arch=1:4)

#General-to-Specific model selection of the
#simplified mean specification:
gets.vol(mymodel$resids, arch=1:4)