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dc.contributor.authorPretis, Felix
dc.contributor.authorReade, J James
dc.contributor.authorSucarrat, Genaro
dc.date.accessioned2018-10-24T12:37:29Z
dc.date.available2018-10-24T12:37:29Z
dc.date.created2018-10-11T15:45:41Z
dc.date.issued2018
dc.identifier.citationJournal of Statistical Software. 2018, 86 (3), 1-44.nb_NO
dc.identifier.issn1548-7660
dc.identifier.urihttp://hdl.handle.net/11250/2569351
dc.description.abstractThis paper provides an overview of the R package gets, which contains facilities for automated general-to-specific (GETS) modeling of the mean and variance of a regression, and indicator saturation (IS) methods for the detection and modeling of outliers and structural breaks. 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 linear 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 modeling of the mean specification of an 'arx' object. The third function undertakes GETS modeling of the log-variance specification of an 'arx' object. The fourth function undertakes GETS modeling of an indicator-saturated mean specification allowing for the detection of outliers and structural breaks. The usage of two convenience functions for export of results to EViews and Stata are illustrated, and LATEX code of the estimation output can readily be generated.nb_NO
dc.language.isoengnb_NO
dc.publisherFoundation for Open Access Statisticsnb_NO
dc.titleAutomated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaksnb_NO
dc.title.alternativeAutomated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaksnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewednb_NO
dc.description.versionpublishedVersionnb_NO
dc.source.pagenumber1-44nb_NO
dc.source.volume86nb_NO
dc.source.journalJournal of Statistical Softwarenb_NO
dc.source.issue3nb_NO
dc.identifier.doi10.18637/jss.v086.i03
dc.identifier.cristin1619773
dc.description.localcodeOA, 1nb_NO
cristin.unitcode158,3,0,0
cristin.unitnameInstitutt for samfunnsøkonomi
cristin.ispublishedtrue
cristin.fulltextoriginal
cristin.qualitycode1


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