Last updated 5 January 2017. Shortcuts: CATE - BI ECON - BI FinECON - BI - UC3M ECON - UC3M STAT - UC3M Business - CORE
gets - The R Package
Automated General-to-Specific (GETS) modelling of the mean and variance of a regression, and Indicator Saturation (IS) methods for detecting and testing for structural breaks in the mean.
- Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry and Felix Pretis (2015): "Detecting Location Shifts during Model Selection by Step-Indicator Saturation", Econometrics 3(2), pp. 240-264. doi: 10.3390/econometrics3020240
- Genaro Sucarrat and Alvaro Escribano (2012): "Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications" in Oxford Bulletin of Economics and Statistics 74(5), pp. 716-735
- Genaro Sucarrat, Steffen Grønneberg and Alvaro Escribano (2015): "Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown" (in press), Computational Statistics and Data Analysis. doi: 10.1016/j.csda.2015.12.005