gets

MaRDI QIDQ37327swMATHCRANFDO

Authors Genaro Sucarrat, Felix Pretis, James Reade

Last update 28 July 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 0.37, PACKAGES.rds, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 0.10, 0.11, 0.12, 0.13, 0.14, 0.15, 0.16, 0.17, 0.18, 0.19, 0.20, 0.21, 0.22, 0.23, 0.24, 0.25, 0.26, 0.27, 0.29, 0.35, 0.36, 0.38, 0.40

Official website https://cran.r-project.org/web/packages/gets/index.html

Source code repository https://github.com/cran/gets

Description

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>.

Cites work

• Automated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaks
• User-Specified General-to-Specific and Indicator Saturation Methods

Cited in

(8)

• Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
• Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions
• AutoSEARCH
• lgarch
• GEVStableGarch
• getspanel
• ardl.nardl
• ivgets

This page was built for software: gets