Last updated 17 April 2023.

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.

  • CRAN website: https://CRAN.R-project.org/package=gets

  • Bugs, issues, requests (Github): https://github.com/gsucarrat/gets

  • An introduction (PDF): https://doi.org/10.18637/jss.v086.i03

  • User-Specified GETS and ISAT Methods (PDF): https://journal.r-project.org/archive/2021/RJ-2021-024/

  • The AR-logit-X model (PDF): Draft chapter

  • Manual: Package 'gets'

  • Change-log: NEWS

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

  • Bibliography:
    •
    - 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