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>.
| Version: |
0.38 |
| Depends: |
R (≥ 3.3.0), zoo, parallel |
| Imports: |
methods |
| Suggests: |
lgarch, xtable, Matrix, testthat |
| Published: |
2024-07-14 |
| DOI: |
10.32614/CRAN.package.gets |
| Author: |
Genaro Sucarrat [aut, cre], Felix Pretis [aut], James Reade [aut], Jonas Kurle [ctb], Moritz Schwarz [ctb] |
| Maintainer: |
Genaro Sucarrat <genaro.sucarrat at bi.no> |
| BugReports: |
https://github.com/gsucarrat/gets/issues |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://CRAN.R-project.org/package=gets,
http://www.sucarrat.net/R/gets/ |
| NeedsCompilation: |
no |
| Citation: |
gets citation info |
| Materials: |
NEWS |
| In views: |
Econometrics, Finance |
| CRAN checks: |
gets results |
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