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 |