Last updated 5 January 2017. Shortcuts: CATE - BI ECON - BI FinECON - BI - UC3M ECON - UC3M STAT - UC3M Business - CORE

gets - The R Package

Automated General-to-Specific (GETS) modelling of the mean and variance of a regression, and Indicator Saturation (IS) methods for detecting and testing for structural breaks in the mean.

  • Manual: Package 'gets'

  • An introduction: General-to-Specific (GETS) Modelling and Indicator Saturation with the R Package gets

  • Slides: Forskermøtet 2016

  • The isat function: Interactive examples via the homepage of Felix Pretis. A critique of the isat function and our reply to the critique

  • Bugs, issues, questions:

  • CRAN website:

  • Change-log: NEWS

  • References:

  • - Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry and Felix Pretis (2015): "Detecting Location Shifts during Model Selection by Step-Indicator Saturation", Econometrics 3(2), pp. 240-264. doi: 10.3390/econometrics3020240

    - Genaro Sucarrat and Alvaro Escribano (2012): "Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications" in Oxford Bulletin of Economics and Statistics 74(5), pp. 716-735

    - Genaro Sucarrat, Steffen Grønneberg and Alvaro Escribano (2015): "Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown" (in press), Computational Statistics and Data Analysis. doi: 10.1016/j.csda.2015.12.005