General-to-specific (GETS) modelling and indicator saturation with the R package gets
This paper provides an overview of the R-package 'gets', which contains facilities for General-to-Specific (GETS) modelling of the mean and variance of a regression, and Indicator Saturation (IS) methods for the detection and modelling of structural breaks and outliers. The mean can be spe...
| Main Authors: | , , |
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| Format: | Working paper |
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University of Oxford
2016
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| _version_ | 1797082624600047616 |
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| author | Pretis, F Reade, J Sucarrat, G |
| author_facet | Pretis, F Reade, J Sucarrat, G |
| author_sort | Pretis, F |
| collection | OXFORD |
| description | This paper provides an overview of the R-package 'gets', which contains facilities for General-to-Specific (GETS) modelling of the mean and variance of a regression, and Indicator Saturation (IS) methods for the detection and modelling of structural breaks and outliers. The mean can be specified as an autoregressive model with covariates (an 'AR-X' model), and the variance can be specified as an autoregressive log-variance model with covariates (a 'log-ARCH-X' model). The covariates in the two specifications need not be the same, and the classical regression model is obtained as a special case when there is no dynamics, and when there are no covariates in the variance equation. The four main functions of the package are arx, getsm, getsv and isat. The first function estimates an AR-X model with log-ARCH-X errors. The second function undertakes GETS model selection of the mean specification of an arx object. The third function undertakes GETS model selection of the log-variance specification of an arx object. The fourth function undertakes GETS model selection of an indicator saturated mean specification allowing for the detection of structural breaks and outliers. Examples of how LaTeX code of the estimation output can be generated is given, and the usage of two convenience functions for export of results to EViews and STATA are illustrated. |
| first_indexed | 2024-03-07T01:30:21Z |
| format | Working paper |
| id | oxford-uuid:9366b8ac-e90f-4ac4-aad4-304ecde89a6a |
| institution | University of Oxford |
| last_indexed | 2024-03-07T01:30:21Z |
| publishDate | 2016 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:9366b8ac-e90f-4ac4-aad4-304ecde89a6a2022-03-26T23:31:59ZGeneral-to-specific (GETS) modelling and indicator saturation with the R package getsWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:9366b8ac-e90f-4ac4-aad4-304ecde89a6aBulk import via SwordSymplectic ElementsUniversity of Oxford2016Pretis, FReade, JSucarrat, GThis paper provides an overview of the R-package 'gets', which contains facilities for General-to-Specific (GETS) modelling of the mean and variance of a regression, and Indicator Saturation (IS) methods for the detection and modelling of structural breaks and outliers. The mean can be specified as an autoregressive model with covariates (an 'AR-X' model), and the variance can be specified as an autoregressive log-variance model with covariates (a 'log-ARCH-X' model). The covariates in the two specifications need not be the same, and the classical regression model is obtained as a special case when there is no dynamics, and when there are no covariates in the variance equation. The four main functions of the package are arx, getsm, getsv and isat. The first function estimates an AR-X model with log-ARCH-X errors. The second function undertakes GETS model selection of the mean specification of an arx object. The third function undertakes GETS model selection of the log-variance specification of an arx object. The fourth function undertakes GETS model selection of an indicator saturated mean specification allowing for the detection of structural breaks and outliers. Examples of how LaTeX code of the estimation output can be generated is given, and the usage of two convenience functions for export of results to EViews and STATA are illustrated. |
| spellingShingle | Pretis, F Reade, J Sucarrat, G General-to-specific (GETS) modelling and indicator saturation with the R package gets |
| title | General-to-specific (GETS) modelling and indicator saturation with the R package gets |
| title_full | General-to-specific (GETS) modelling and indicator saturation with the R package gets |
| title_fullStr | General-to-specific (GETS) modelling and indicator saturation with the R package gets |
| title_full_unstemmed | General-to-specific (GETS) modelling and indicator saturation with the R package gets |
| title_short | General-to-specific (GETS) modelling and indicator saturation with the R package gets |
| title_sort | general to specific gets modelling and indicator saturation with the r package gets |
| work_keys_str_mv | AT pretisf generaltospecificgetsmodellingandindicatorsaturationwiththerpackagegets AT readej generaltospecificgetsmodellingandindicatorsaturationwiththerpackagegets AT sucarratg generaltospecificgetsmodellingandindicatorsaturationwiththerpackagegets |