AutoSEARCH: General-to-Specific (GETS) Model Selection
Automated multi-path General-to-Specific (GETS) model selection of either an AR-X model with log-ARCH-X errors, or of a log-ARCH-X model of the error. NOTE: The package has been succeeded by the package gets, also available on the CRAN, which is intended to be more user-friendly, faster and easier to extend. AutoSEARCH will continue to be maintained, but the development focus will switch to gets. Users are therefore encouraged to consider gets instead.
||R (≥ 2.4.1), zoo, gets, lgarch
||Genaro Sucarrat <genaro.sucarrat at bi.no>