Last updated 3 July 2019.
gets - The R Package
The R package gets provides tools for automated General-to-Specific (GETS) modelling of the mean and variance of a regression, and Indicator Saturation (ISAT) methods for detecting and testing for structural breaks in the mean.
- Felix Pretis, James Reade and Genaro Sucarrat (2018): "Automated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaks", Journal of Statistical Software 86, Issue 3, pp. 1-44. doi: 10.18637/jss.v086.i03
- 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