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.

Version: 1.3
Depends: R (≥ 2.4.1), zoo, gets, lgarch
Published: 2014-10-22
Author: Genaro Sucarrat
Maintainer: Genaro Sucarrat <genaro.sucarrat at bi.no>
License: GPL-2
NeedsCompilation: no
Materials: NEWS
In views: Econometrics, Finance
CRAN checks: AutoSEARCH results

Downloads:

Reference manual: AutoSEARCH.pdf
Package source: AutoSEARCH_1.3.tar.gz
Windows binaries: r-devel: AutoSEARCH_1.3.zip, r-release: AutoSEARCH_1.3.zip, r-oldrel: AutoSEARCH_1.2.zip
OS X Snow Leopard binaries: r-release: AutoSEARCH_1.2.tgz, r-oldrel: AutoSEARCH_1.2.tgz
OS X Mavericks binaries: r-release: AutoSEARCH_1.2.tgz
Old sources: AutoSEARCH archive