# General-to-Specific (GETS) Modelling and Indicator Saturation Methods

## Documentation for package ‘gets’ version 0.40

- DESCRIPTION file
- User guides, package vignettes and other documentation
- Package NEWS

## Help Pages

A B C D E F G H I L M N O P R S T V

gets-package | General-to-Specific (GETS) and Indicator Saturation (ISAT) Modelling

## -- A --

arx | Estimate an AR-X model with log-ARCH-X errors
as.arx | Convert an object to class 'arx'
as.arx.isat | Convert an object to class 'arx'
as.arx.lm | Convert an object to class 'arx'
as.isat | Convert to 'isat' object
as.lm | Convert to 'lm' object

## -- B --

biascorr | Bias-correction of coefficients following general-to-specific model selection
blocksFun | Block-based General-to-Specific (GETS) modelling

## -- C --

coef.arx | Extraction functions for 'arx' objects
coef.gets | Extraction functions for 'gets' objects
coef.isat | Extraction functions for 'isat' objects
coef.larch | Methods and extraction functions for 'larch' objects
coef.logitx | Extraction functions for 'logitx' objects
create.ISmatrices | Internal function to construct Indicator Saturation Matrices

## -- D --

diagnostics | Diagnostics tests
distorttest | Jiao-Pretis-Schwarz Outlier Distortion Test
distorttestboot | Bootstrapped Jiao-Pretis-Schwarz Outlier Distortion Test
dlogitx | Estimate an autoregressive logit model with covariates
dlogitxSim | Simulate from a dynamic logit-x model
dropvar | Drop variable

## -- E --

eqwma | Equally Weighted Moving Average (EqWMA) of the pth. exponentiated values
ES | Conditional Value-at-Risk (VaR) and Expected Shortfall (ES)
eviews | Exporting results to EViews and STATA

## -- F --

fitted.arx | Extraction functions for 'arx' objects
fitted.gets | Extraction functions for 'gets' objects
fitted.isat | Extraction functions for 'isat' objects
fitted.larch | Methods and extraction functions for 'larch' objects
fitted.logitx | Extraction functions for 'logitx' objects

## -- G --

gets | General-to-Specific (GETS) Modelling
gets.arx | General-to-Specific (GETS) Modelling
gets.isat | General-to-Specific (GETS) Modelling 'isat' objects
gets.larch | General-to-Specific (GETS) Modelling of a heterogeneous log-ARCH-X model
gets.lm | General-to-Specific (GETS) Modelling 'lm' objects
gets.logitx | General-to-Specific (GETS) Modelling of objects of class 'logitx'
getsFun | General-to-Specific (GETS) modelling function
getsm | General-to-Specific (GETS) Modelling of an AR-X model (the mean specification) with log-ARCH-X errors (the log-variance specification).
getsv | General-to-Specific (GETS) Modelling of an AR-X model (the mean specification) with log-ARCH-X errors (the log-variance specification).
gmm | Generalised Method of Moment (GMM) estimation of linear models

## -- H --

hpdata | Hoover and Perez (1999) data

## -- I --

iim | Make Indicator Matrices (Impulses, Steps, Trends)
infldata | Quarterly Norwegian year-on-year CPI inflation
info.criterion | Computes the Average Value of an Information Criterion
infocrit | Computes the Average Value of an Information Criterion
ISadditionalblocksearch | Internal function to carry out additional Block Search in isat: Leave-One-Out Block Search for Excessive Indicators
isat | Indicator Saturation
isat.arx | Indicator Saturation
isat.default | Indicator Saturation
isat.lm | Indicator Saturation
isatdates | Extracting Indicator Saturation Breakdates
isatloop | Repeated Impulse Indicator Saturation
isattest | Indicator Saturation Test
isatvar | Variance of the coefficient path
isatvarcorrect | Consistency and Efficiency Correction for Impulse Indicator Saturation
ISblocksFun | Internal function to carry out the block-wise GETS search
ISMatricesLoop | Internal function to loop Over Indicator Saturation Matrices with Block-Based GETS
isvarcor | IIS Consistency Correction
isvareffcor | IIS Efficiency Correction

## -- L --

larch | Estimate a heterogeneous log-ARCH-X model
larchEstfun | Estimation of a log-variance model
leqwma | Equally Weighted Moving Average (EqWMA) of the pth. exponentiated values
logit | Estimation of a logit model
logitx | Estimate an autoregressive logit model with covariates
logitxSim | Simulate from a dynamic logit-x model
logLik.arx | Extraction functions for 'arx' objects
logLik.gets | Extraction functions for 'gets' objects
logLik.isat | Extraction functions for 'isat' objects
logLik.larch | Methods and extraction functions for 'larch' objects
logLik.logitx | Extraction functions for 'logitx' objects

## -- M --

model.matrix.arx | Extraction functions for 'arx' objects
model.matrix.larch | Methods and extraction functions for 'larch' objects
mvrnormsim | Simulate from a Multivariate Normal Distribution

## -- N --

nobs.arx | Extraction functions for 'arx' objects
nobs.larch | Methods and extraction functions for 'larch' objects

## -- O --

ols | OLS estimation
outlierscaletest | Sum and Sup Scaling Outlier Tests
outliertest | Jiao and Pretis Outlier Proportion and Count Tests

## -- P --

paths | Extraction functions for 'arx', 'gets' and 'isat' objects
periodicdummies | Make matrix of periodicity (e.g. seasonal) dummies
plot.arx | Extraction functions for 'arx' objects
plot.gets | Extraction functions for 'gets' objects
plot.isat | Extraction functions for 'isat' objects
plot.larch | Methods and extraction functions for 'larch' objects
plot.logitx | Extraction functions for 'logitx' objects
predict.arx | Forecasting with 'arx' models
predict.gets | Extraction functions for 'gets' objects
predict.isat | Extraction functions for 'isat' objects
predict.larch | Variance forecasting with 'larch' models
print.arx | Extraction functions for 'arx' objects
print.distorttestboot | Bootstrapped Jiao-Pretis-Schwarz Outlier Distortion Test
print.gets | Extraction functions for 'gets' objects
print.isat | Extraction functions for 'isat' objects
print.larch | Methods and extraction functions for 'larch' objects
print.logitx | Extraction functions for 'logitx' objects
printtex | Generate LaTeX code of an estimation result

## -- R --

recursive | Recursive estimation
regressorsMean | Create the regressors of the mean equation
regressorsVariance | Create regressors for a log-variance model
residuals.arx | Extraction functions for 'arx' objects
residuals.gets | Extraction functions for 'gets' objects
residuals.isat | Extraction functions for 'isat' objects
residuals.larch | Methods and extraction functions for 'larch' objects
rsquared | Extraction functions for 'arx', 'gets' and 'isat' objects

## -- S --

sigma.arx | Extraction functions for 'arx' objects
sigma.gets | Extraction functions for 'gets' objects
sigma.isat | Extraction functions for 'isat' objects
sim | Make Indicator Matrices (Impulses, Steps, Trends)
so2data | UK SO2 Data
sp500data | Daily Standard and Poor's 500 index data
stata | Exporting results to EViews and STATA
summary.arx | Extraction functions for 'arx' objects
summary.gets | Extraction functions for 'gets' objects
summary.isat | Extraction functions for 'isat' objects
summary.larch | Methods and extraction functions for 'larch' objects
summary.logitx | Extraction functions for 'logitx' objects

## -- T --

terminals | Extraction functions for 'arx', 'gets' and 'isat' objects
tim | Make Indicator Matrices (Impulses, Steps, Trends)
toLatex.arx | Generate LaTeX code of an estimation result
toLatex.gets | Generate LaTeX code of an estimation result
toLatex.larch | Methods and extraction functions for 'larch' objects
toLatex.logitx | Extraction functions for 'logitx' objects

## -- V --

VaR | Conditional Value-at-Risk (VaR) and Expected Shortfall (ES)
vargaugeiis | Variance of the Impulse Indicator Saturation Gauge
vcov.arx | Extraction functions for 'arx' objects
vcov.gets | Extraction functions for 'gets' objects
vcov.isat | Extraction functions for 'isat' objects
vcov.larch | Methods and extraction functions for 'larch' objects
vcov.logitx | Extraction functions for 'logitx' objects