| AutoSEARCH-package |
General-to-Specific (GETS) Modelling |
| AutoSEARCH |
General-to-Specific (GETS) Modelling |
| eqwma |
Equally Weighted Moving Average (EqWMA) of the pth. exponentiated values |
| gedestp |
Estimate and compute log-likelihood of the standardised Generalised Error Distribution (GED) |
| gedlogl |
Estimate and compute log-likelihood of the standardised Generalised Error Distribution (GED) |
| gets.mean |
General-to-Specific (GETS) Modelling of an AR-X model with log-ARCH-X errors |
| gets.vol |
General-to-Specific (GETS) Modelling of an AR-X model with log-ARCH-X errors |
| gLag |
Lag a series |
| gLog.ep |
Adjust for zero values and compute log(abs(e)^p) |
| info.criterion |
Computes the Value of an Information Criterion |
| jb.test |
Jarque-Bera test for normality |
| leqwma |
Equally Weighted Moving Average (EqWMA) of the pth. exponentiated values |
| ols.fit1 |
Fast and accurate OLS estimation by means of QR decomposition |
| ols.fit2 |
Fast and accurate OLS estimation by means of QR decomposition |
| regs.mean.sm |
Create the regressors of an AR-X model |
| regs.vol.sm |
Create the regressors of a log-ARCH-X model |
| skewness.test |
Chi-squared test for skewness in the standardised residuals |
| sm |
Estimate an AR-X Model with Log-ARCH-X Errors |
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