Package ‘gets’

March 22, 2022

Type Package
Title General-to-Specific (GETS) Modelling and Indicator Saturation
Methods
Version 0.35
Date 2022-03-22
Author Genaro Sucarrat [aut, cre], Fe-
lix Pretis [aut], James Reade [aut], Jonas Kurle [ctb], Moritz Schwarz [ctb]
Maintainer Genaro Sucarrat <[email protected]>
Description Automated General-to-Specific (GETS) modelling of the mean and variance of a regres-
sion, and indicator saturation methods for detecting and testing for struc-
tural breaks in the mean, see Pretis, Reade and Sucarrat (2018) <doi:10.18637/jss.v086.i03>.
License GPL (>= 2)
Depends R (>= 3.3.0), zoo, parallel
Suggests lgarch, xtable, Matrix, microbenchmark

BugReports https://github.com/gsucarrat/gets/issues

URL https://CRAN.R-project.org/package=gets,
http://www.sucarrat.net/R/gets/
NeedsCompilation no
Repository CRAN
Date/Publication 2022-03-22 08:00:02 UTC

R topics documented:
gets-package . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
arx . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
as.arx . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
as.lm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
biascorr . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
blocksFun . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
coef.arx . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15

1
2 R topics documented:

coef.gets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
coef.isat . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
coef.logitx . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
diagnostics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
distorttest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
distorttestboot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
dropvar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
eqwma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
ES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
eviews . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
gets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
gets.isat . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
gets.lm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
gets.logitx . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
getsFun . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
getsm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
gmm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
hpdata . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
iim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
infldata . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
infocrit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
isat . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
isatdates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
isatloop . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
isattest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
isatvar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
isatvarcorrect . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
isvarcor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
isvareffcor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
logit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
logitx . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
logitxSim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
mvrnormsim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
ols . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
outlierscaletest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
outliertest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
paths . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
periodicdummies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
predict.arx . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
printtex . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92
recursive . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
regressorsMean . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
regressorsVariance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
so2data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
sp500data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
vargaugeiis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101

Index 103
gets-package 3

gets-package General-to-Specific (GETS) and Indicator Saturation (ISAT) Mod-

elling

Description
The gets package provides functions and methods for General-to-Specific (GETS) and Indicator
Saturation (ISAT) modelling. GETS modelling is a powerful and flexible variable selection algo-
rithm that returns a parsimonious and interpretable model. It is ideally suited for the development
of models that can be used for counterfactual and predictive scenario analysis (e.g. conditional
forecasting). ISAT modelling provides a comprehensive, flexible and powerful approach to the
identification of structural breaks and outliers.

The code of the package originated in relation with the research project G. Sucarrat and A. Escrib-
ano (2012). In 2014, Felix Pretis and James Reade joined for the development of the isat code and
related functions. Moritz Schwarz and Jonas Kurle joined the development team in 2020.

Details

Version: 0.35
Date: 2022-03-22
Licence: GPL-2

GETS modelling
GETS methods are available for the following model classes:

• Linear regression, both static and dynamic, see arx, gets.arx and gets.lm
• Variance models, both static and dynamic, see arx
• Logit models, both static and dynamic, see logitx and gets.logitx
The function arx estimates a static linear regression, or a dynamic AR-X model with (optionally)
a log-variance specification. The log-variance specification can either be static or a dynamic log-
variance model with covariates (a ’log-ARCH-X’ model). For the statistical details of the model,
see Section 4 in Pretis, Reade and Sucarrat (2018). The function logitx estimates a static logit
model, or a dynamic logit model with covariates (optionally). For complete user-specified GETS
modelling, see getsFun.

ISAT modelling
ISAT methods are available for:
4 gets-package

• Linear regression, both static and dynamic, see isat

The isat function undertakes GETS model selection of an indicator saturated mean specification.
Extraction functions (mainly S3 methods) are also available, together with additional auxiliary func-
tions. For complete user-specified ISAT modelling, see blocksFun.

Vignettes
Two vignettes are available in the package (type browseVignettes("gets") to access them):

• An introduction to the gets package

• User-Specified General-to-Specific (GETS) and Indicator Saturation (ISAT) Methods

The former is a mildly modified version of Pretis, Reade and Sucarrat (2018), whereas the latter is
an updated version of Sucarrat (2020).

Author(s)

Jonas Kurle: https://www.jonaskurle.com/

Felix Pretis: http://www.felixpretis.org/
James Reade: https://sites.google.com/site/jjamesreade/
Moritz Schwarz: https://www.inet.ox.ac.uk/people/moritz-schwarz/
Genaro Sucarrat: http://www.sucarrat.net/

Maintainer: Genaro Sucarrat

References
Jurgen A. Doornik, David F. Hendry, and Felix Pretis (2013): ’Step Indicator Saturation’, Oxford
Economics Discussion Paper, 658. https://ideas.repec.org/p/oxf/wpaper/658.html
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 Sta-
tistical Software 86, Number 3, pp. 1-44. doi: 10.18637/jss.v086.i03
Carlos Santos, David F. Hendry and Soren Johansen (2007): ’Automatic selection of indicators in
a fully saturated regression’. Computational Statistics, vol 23:1, pp.317-335. doi: 10.1007/s00180-
0070054z
Genaro Sucarrat (2020): ’User-Specified General-to-Specific and Indicator Saturation Methods’.
The R Journal 12:2, pages 388-401. https://journal.r-project.org/archive/2021/RJ-2021-024/
Genaro Sucarrat and Alvaro Escribano (2012): ’Automated Financial Model Selection: General-to-
Specific Modelling of the Mean and Volatility Specifications’, Oxford Bulletin of Economics and
Statistics 74, Issue 5 (October), pp. 716-735.

See Also
arx, gets.arx, getsm, getsv, isat, getsFun, blocksFun
arx 5

Examples
##Simulate from an AR(1):
set.seed(123)
y <- arima.sim(list(ar=0.4), 60)

##Estimate an AR(2) with intercept as mean specification

##and a log-ARCH(4) as log-volatility specification:
myModel <- arx(y, mc=TRUE, ar=1:2, arch=1:4)

##GETS modelling of the mean of myModel:

simpleMean <- getsm(myModel)

##GETS modelling of the log-variance of myModel:

simpleVar <- getsv(myModel)

##results:
print(simpleMean)
print(simpleVar)

##step indicator saturation of an iid normal series:

set.seed(123)
y <- rnorm(30)
isat(y)

arx Estimate an AR-X model with log-ARCH-X errors

Description
Estimation by OLS, two-step OLS if a variance specification is specified: In the first the mean
specification (AR-X) is estimated, whereas in the second step the log-variance specification (log-
ARCH-X) is estimated.
The AR-X mean specification can contain an intercept, AR-terms, lagged moving averages of the
regressand and other conditioning covariates (’X’). The log-variance specification can contain log-
ARCH terms, asymmetry or ’leverage’ terms, log(EqWMA) where EqWMA is a lagged equally
weighted moving average of past squared residuals (a volatility proxy) and other conditioning co-
variates (’X’).

Usage
arx(y, mc=TRUE, ar=NULL, ewma=NULL, mxreg=NULL, vc=FALSE,
arch=NULL, asym=NULL, log.ewma=NULL, vxreg=NULL, zero.adj=0.1,
vc.adj=TRUE, vcov.type=c("ordinary", "white", "newey-west"),
qstat.options=NULL, normality.JarqueB=FALSE, user.estimator=NULL,
user.diagnostics=NULL, tol=1e-07, LAPACK=FALSE, singular.ok=TRUE,
plot=NULL)
6 arx

Arguments
y numeric vector, time-series or zoo object. Missing values in the beginning and at
the end of the series is allowed, as they are removed with the na.trim command
mc logical. TRUE (default) includes an intercept in the mean specification, whereas
FALSE does not
ar either NULL (default) or an integer vector, say, c(2,4) or 1:4. The AR-lags to
include in the mean specification. If NULL, then no lags are included
ewma either NULL (default) or a list with arguments sent to the eqwma function. In
the latter case a lagged moving average of y is included as a regressor
mxreg either NULL (default) or a numeric vector or matrix, say, a zoo object, of con-
ditioning variables. Note that, if both y and mxreg are zoo objects, then their
samples are chosen to match
vc logical. TRUE includes an intercept in the log-variance specification, whereas
FALSE (default) does not. If the log-variance specification contains any other
item but the log-variance intercept, then vc is set to TRUE
arch either NULL (default) or an integer vector, say, c(1,3) or 2:5. The log-ARCH
lags to include in the log-variance specification
asym either NULL (default) or an integer vector, say, c(1) or 1:3. The asymmetry (i.e.
’leverage’) terms to include in the log-variance specification
log.ewma either NULL (default) or a vector of the lengths of the volatility proxies, see
leqwma
vxreg either NULL (default) or a numeric vector or matrix, say, a zoo object, of condi-
tioning variables. If both y and mxreg are zoo objects, then their samples are
chosen to match
zero.adj numeric value between 0 and 1. The quantile adjustment for zero values. The
default 0.1 means the zero residuals are replaced by the 10 percent quantile of
the absolute residuals before taking the logarithm
vc.adj logical. If TRUE (default), then the log-variance intercept is adjusted by the esti-
mate of E[ln(z^2)], where z is the standardised error. This adjustment is needed
for the conditional scale to be equal to the conditional standard deviation. If
FALSE, then the log-variance intercept is not adjusted
vcov.type character vector, "ordinary" (default), "white" or "newey-west". If "ordinary",
then the ordinary variance-covariance matrix is used for inference. If "white",
then the White (1980) heteroscedasticity-robust matrix is used. If "newey-west",
then the Newey and West (1987) heteroscedasticity and autocorrelation-robust
matrix is used
qstat.options NULL (default) or an integer vector of length two, say, c(1,1). The first value
sets the lag-order of the AR diagnostic test, whereas the second value sets the
lag-order of the ARCH diagnostic test. If NULL, then the two values of the vector
are set automatically
normality.JarqueB
FALSE (default) or TRUE. If TRUE, then the results of the Jarque and Bera (1980)
test for non-normality in the residuals are included in the estimation results.
arx 7

user.estimator NULL (default) or a list with one entry, name, containing the name of the user-
defined estimator. Additional items, if any, are passed on as arguments to the
estimator in question
user.diagnostics
NULL (default) or a list with two entries, name and pval, see the user.fun
argument in diagnostics
tol numeric value (default = 1e-07). The tolerance for detecting linear dependen-
cies in the columns of the regressors (see qr function). Only used if LAPACK is
FALSE (default) and user.estimator is NULL.
LAPACK logical. If TRUE, then use LAPACK. If FALSE (default), then use LINPACK (see
qr function). Only used if user.estimator is NULL.
singular.ok logical. If TRUE, then the regressors are checked for singularity, and the ones
causing it are automatically removed.
plot NULL or logical. If TRUE, then the fitted values and the residuals are plotted.
If NULL (default), then the value set by options determines whether a plot is
produced or not.

Details
For an overview of the AR-X model with log-ARCH-X errors, see Pretis, Reade and Sucarrat
(2018): doi: 10.18637/jss.v086.i03.

The arguments user.estimator and user.diagnostics enables the specification of user-defined

estimators and user-defined diagnostics. To this end, the principles of the same arguments in
getsFun are followed, see its documentation under "Details", and Sucarrat (2020): https://
journal.r-project.org/archive/2021/RJ-2021-024/.

Value
A list of class ’arx’

Author(s)

Jonas Kurle: https://www.jonaskurle.com/

Moritz Schwarz: https://www.inet.ox.ac.uk/people/moritz-schwarz/
Genaro Sucarrat: http://www.sucarrat.net/

References
C. Jarque and A. Bera (1980): ’Efficient Tests for Normality, Homoscedasticity and Serial Indepen-
dence’. Economics Letters 6, pp. 255-259. doi: 10.1016/01651765(80)900245
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 Sta-
tistical Software 86, Number 3, pp. 1-44. doi: 10.18637/jss.v086.i03
8 arx

Genaro Sucarrat (2020): ’User-Specified General-to-Specific and Indicator Saturation Methods’.

The R Journal 12:2, pages 388-401. https://journal.r-project.org/archive/2021/RJ-2021-024/
Halbert White (1980): ’A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct
Test for Heteroskedasticity’, Econometrica 48, pp. 817-838.
Whitney K. Newey and Kenned D. West (1987): ’A Simple, Positive Semi-Definite, Heteroskedas-
ticity and Autocorrelation Consistent Covariance Matrix’, Econometrica 55, pp. 703-708.

See Also
Extraction functions (mostly S3 methods): coef.arx, ES, fitted.arx, plot.arx,
print.arx, recursive, residuals.arx, sigma.arx, rsquared,
summary.arx, VaR and vcov.arx

Related functions: getsm, getsv, isat

Examples
##Simulate from an AR(1):
set.seed(123)
y <- arima.sim(list(ar=0.4), 70)

##estimate an AR(2) with intercept:

arx(y, mc=TRUE, ar=1:2)

##Simulate four independent Gaussian regressors:

xregs <- matrix(rnorm(4*70), 70, 4)

##estimate an AR(2) with intercept and four conditioning

##regressors in the mean:
arx(y, ar=1:2, mxreg=xregs)

##estimate a log-variance specification with a log-ARCH(4)

##structure:
arx(y, mc=FALSE, arch=1:4)

##estimate a log-variance specification with a log-ARCH(4)

##structure and an asymmetry/leverage term:
arx(y, mc=FALSE, arch=1:4, asym=1)

##estimate a log-variance specification with a log-ARCH(4)

##structure, an asymmetry or leverage term, a 10-period log(EWMA) as
##volatility proxy, and the log of the squareds of the conditioning
##regressors in the log-variance specification:
arx(y, mc=FALSE,
arch=1:4, asym=1, log.ewma=list(length=10), vxreg=log(xregs^2))

##estimate an AR(2) with intercept and four conditioning regressors

##in the mean, and a log-variance specification with a log-ARCH(4)
##structure, an asymmetry or leverage term, a 10-period log(EWMA) as
##volatility proxy, and the log of the squareds of the conditioning
##regressors in the log-variance specification:
as.arx 9

arx(y, ar=1:2, mxreg=xregs,

arch=1:4, asym=1, log.ewma=list(length=10), vxreg=log(xregs^2))

as.arx Convert an object to class ’arx’

Description
The function as.arx is a generic function and its methods returns an object of class arx.

Usage
as.arx(object, ...)

##S3 method for objects of class 'lm':

## S3 method for class 'lm'
as.arx(object, ...)

Arguments
object object of class lm
... arguments passed on to and from other methods

Value
Object of class arx

Author(s)
Genaro Sucarrat http://www.sucarrat.net/

See Also
lm, arx

Examples

##generate some data:

set.seed(123) #for reproducibility
y <- rnorm(30) #generate Y
x <- matrix(rnorm(30*10), 30, 10) #create matrix of Xs

##typical situation:
mymodel <- lm(y ~ x)
as.arx(mymodel)
10 as.lm

##use hetero-robust vcov:

as.arx(mymodel, vcov.type="white")

##add ar-dynamics:
as.arx(mymodel, ar=1:2)

##add log-variance specification:

as.arx(mymodel, arch=1:2)

as.lm Convert to ’lm’ object

Description
Convert ’arx’/’gets’/’isat’ object to ’lm’ object

Usage
as.lm(object)

Arguments
object object of class arx, gets or isat

Value
Object of class lm

Author(s)
Moritz Schwarz, https://www.inet.ox.ac.uk/people/moritz-schwarz/
Genaro Sucarrat http://www.sucarrat.net/

See Also
arx, gets, isat, lm

Examples
##generate data, estimate model of class 'arx':
set.seed(123)
y <- rnorm(30)
arxmod <- arx(y, mc=TRUE, ar=1:3)
as.lm(arxmod)

##from 'gets' to 'lm':

biascorr 11

getsmod <- getsm(arxmod, keep=1)

as.lm(getsmod)

##from 'isat' to 'lm':

isatmod <- isat(y)
as.lm(isatmod)

biascorr Bias-correction of coefficients following general-to-specific model se-

lection

Description
Takes a vector of coefficients (valid for orthogonal variables), their standard errors, the significance
level the variables were selected at, and the sample size, to return bias-corrected coefficient esti-
mates to account for the bias induced by model selection.

Usage
biascorr(b, b.se, p.alpha, T)

Arguments
b a Kx1 vector of coefficients.
b.se a Kx1 vector of standard errors of the coefficients in ’b’.
p.alpha numeric value between 0 and 1, the significance level at which selection was
conducted.
T integer, the sample size of the original model selection regression.

Details
The function computes the bias-corrected estimates of coefficients in regression models post general-
to-specific model selection using the approach by Hendry and Krolzig (2005). The results are valid
for orthogonal regressors only. Bias correction can be applied to the coefficient path in isat models
where the only additional covariate besides indicators is an intercept - see Pretis (2015).

Value
Returns a Kx3 matrix, where the first column lists the original coefficients, the second column the
one-step corrected coefficients, and the third column the two-step bias-corrected coefficients.

Author(s)
Felix Pretis, http://www.felixpretis.org/
12 blocksFun

References
Hendry, D.F. and Krolzig, H.M. (2005): ’The properties of automatic Gets modelling’. Economic
Journal, 115, C32-C61.
Pretis, F. (2015): ’Testing for time-varying predictive accuracy using bias-corrected indicator satu-
ration’. Oxford Department of Economics Discussion Paper.
Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): ’Automated General-to-Specific (GETS)
Regression Modeling and Indicator Saturation for Outliers and Structural Breaks’. Journal of Sta-
tistical Software 86, Number 3, pp. 1-44

See Also
isat, coef.gets, plot.gets, isatvar, isattest

Examples
###Bias-correction of the coefficient path of the Nile data
#nile <- as.zoo(Nile)
#isat.nile <- isat(nile, sis=TRUE, iis=FALSE, plot=TRUE, t.pval=0.005)
#var <- isatvar(isat.nile)
#biascorr(b=var$const.path, b.se=var$const.se, p.alpha=0.005, T=length(var$const.path))

##Bias-correction of the coefficient path on artificial data

#set.seed(123)
#d <- matrix(0,100,1)
#d[35:55] <- 1
#e <- rnorm(100, 0, 1)
#y <- d*1 +e

#ys <- isat(y, sis=TRUE, iis=FALSE, t.pval=0.01)

#var <- isatvar(ys)
#biascorr(b=var$const.path, b.se=var$const.se, p.alpha=0.01, T=length(var$const.path))

blocksFun Block-based General-to-Specific (GETS) modelling

Description
Auxiliary function (i.e. not intended for the average user) that enables block-based GETS-modelling
with user-specified estimator, diagnostics and goodness-of-fit criterion.

Usage
blocksFun(y, x, untransformed.residuals=NULL, blocks=NULL,
no.of.blocks=NULL, max.block.size=30, ratio.threshold=0.8,
gets.of.union=TRUE, force.invertibility=FALSE,
user.estimator=list(name="ols"), t.pval=0.001, wald.pval=t.pval,
do.pet=FALSE, ar.LjungB=NULL, arch.LjungB=NULL, normality.JarqueB=NULL,
blocksFun 13

user.diagnostics=NULL, gof.function=list(name="infocrit"),
gof.method=c("min", "max"), keep=NULL, include.gum=FALSE,
include.1cut=FALSE, include.empty=FALSE, max.paths=NULL,
turbo=FALSE, parallel.options=NULL, tol=1e-07, LAPACK=FALSE,
max.regs=NULL, print.searchinfo=TRUE, alarm=FALSE)

Arguments
y a numeric vector (with no missing values, i.e. no non-numeric ’holes’)
x a matrix, or a list of matrices
untransformed.residuals
NULL (default) or, when ols is used with method=6 in user.estimator, a nu-
meric vector containing the untransformed residuals
blocks NULL (default) or a list of lists with vectors of integers that indicate how
blocks should be put together. If NULL, then the block composition is under-
taken automatically by an internal algorithm that depends on no.of.blocks,
max.block.size and ratio.threshold
no.of.blocks NULL (default) or integer. If NULL, then the number of blocks is determined
automatically by an internal algorithm
max.block.size integer that controls the size of blocks
ratio.threshold
numeric between 0 and 1 that controls the minimum ratio of variables in each
block to total observations
gets.of.union logical. If TRUE (default), then GETS modelling is undertaken of the union of
retained variables. Otherwise it is not
force.invertibility
logical. If TRUE, then the x-matrix is ensured to have full row-rank before it is
passed on to getsFun
user.estimator list, see getsFun for the details
t.pval numeric value between 0 and 1. The significance level used for the two-sided
coefficient significance t-tests
wald.pval numeric value between 0 and 1. The significance level used for the Parsimo-
nious Encompassing Tests (PETs)
do.pet logical. If TRUE, then a Parsimonious Encompassing Test (PET) against the
GUM is undertaken at each variable removal for the joint significance of all the
deleted regressors along the current GETS path. If FALSE, then a PET is not
undertaken at each removal
ar.LjungB a two element vector, or NULL. In the former case, the first element contains
the AR-order, the second element the significance level. If NULL, then a test for
autocorrelation in the residuals is not conducted
arch.LjungB a two element vector, or NULL. In the former case, the first element contains the
ARCH-order, the second element the significance level. If NULL, then a test for
ARCH in the residuals is not conducted
14 blocksFun

normality.JarqueB
NULL or a numeric value between 0 and 1. In the latter case, a test for non-
normality in the residuals is conducted using a significance level equal to
normality.JarqueB. If NULL, then no test for non-normality is conducted
user.diagnostics
NULL (default) or a list with two entries, name and pval. See getsFun for the
details
gof.function list. The first item should be named name and contain the name (a charac-
ter) of the Goodness-of-Fit (GOF) function used. Additional items in the list
gof.function are passed on as arguments to the GOF-function. . See getsFun
for the details
gof.method character. Determines whether the best Goodness-of-Fit is a minimum (de-
fault) or maximum
keep NULL (default), vector of integers or a list of vectors of integers. In the latter
case, the number of vectors should be equal to the number of matrices in x
include.gum logical. If TRUE, then the GUM (i.e. the starting model) is included among the
terminal models
include.1cut logical. If TRUE, then the 1-cut model is added to the list of terminal models
include.empty logical. If TRUE, then the empty model is added to the list of terminal models
max.paths NULL (default) or integer greater than 0. If NULL, then there is no limit to the
number of paths. If integer (e.g. 1), then this integer constitutes the maximum
number of paths searched (e.g. a single path)
turbo logical. If TRUE, then (parts of) paths are not searched twice (or more) unneces-
sarily in each GETS modelling. Setting turbo to TRUE entails a small additional
computational costs, but may be outweighed substantially if estimation is slow,
or if the number of variables to delete in each path is large
parallel.options
NULL or integer that indicates the number of cores/threads to use for parallel
computing (implemented w/makeCluster and parLapply)
tol numeric value, the tolerance for detecting linear dependencies in the columns
of the variance-covariance matrix when computing the Wald-statistic used in the
Parsimonious Encompassing Tests (PETs), see the qr.solve function
LAPACK currently not used
max.regs integer. The maximum number of regressions along a deletion path. Do not
alter unless you know what you are doing!
print.searchinfo
logical. If TRUE (default), then a print is returned whenever simiplification
along a new path is started
alarm logical. If TRUE, then a sound or beep is emitted (in order to alert the user)
when the model selection ends

Details
blocksFun undertakes block-based GETS modelling by a repeated but structured call to getsFun.
For the details of how to user-specify an estimator via user.estimator, diagnostics via user.diagnostics
and a goodness-of-fit function via gof.function, see documentation of getsFun under "Details".
coef.arx 15

The algorithm of blocksFun is similar to that of isat, but more flexible. The main use of blocksFun
is the creation of user-specified methods that employs block-based GETS modelling, e.g. indicator
saturation techniques.

Value
A list with the results of the block-based GETS-modelling.

Author(s)
Genaro Sucarrat, with contributions from Jonas kurle, Felix Pretis and James Reade

References
F. Pretis, J. Reade and G. Sucarrat (2018): ’Automated General-to-Specific (GETS) Regression
Modeling and Indicator Saturation for Outliers and Structural Breaks’. Journal of Statistical Soft-
ware 86, Number 3, pp. 1-44
G. sucarrat (2020): ’User-Specified General-to-Specific and Indicator Saturation Methods’. The R
Journal 12 issue 2, pp. 388-401, https://journal.r-project.org/archive/2021/RJ-2021-024/

See Also
getsFun, ols, diagnostics, infocrit and isat

Examples

## more variables than observations:

y <- rnorm(20)
x <- matrix(rnorm(length(y)*40), length(y), 40)
blocksFun(y, x)

## 'x' as list of matrices:

z <- matrix(rnorm(length(y)*40), length(y), 40)
blocksFun(y, list(x,z))

## ensure regressor no. 3 in matrix no. 2 is not removed:

blocksFun(y, list(x,z), keep=list(integer(0), 3))

coef.arx Extraction functions for ’arx’ objects

Description
Extraction functions for objects of class ’arx’
16 coef.arx

Usage
## S3 method for class 'arx'
coef(object, spec=NULL, ...)
## S3 method for class 'arx'
fitted(object, spec=NULL, ...)
## S3 method for class 'arx'
logLik(object, ...)
## S3 method for class 'arx'
model.matrix(object, spec=c("mean","variance"), response=FALSE, as.zoo=TRUE, ...)
## S3 method for class 'arx'
plot(x, spec=NULL, col=c("red","blue"),
lty=c("solid","solid"), lwd=c(1,1), ...)
## S3 method for class 'arx'
print(x, signif.stars=TRUE, ...)
## S3 method for class 'arx'
residuals(object, std=FALSE, ...)
## S3 method for class 'arx'
sigma(object, ...)
## S3 method for class 'arx'
summary(object, ...)
## S3 method for class 'arx'
vcov(object, spec=NULL, ...)

Arguments
object an object of class ’arx’
x an object of class ’arx’
spec NULL, "mean", "variance" or, in some instances, "both". When NULL is a valid
value, then it is automatically determined whether information pertaining to the
mean or variance specification should be returned
response logical. If TRUE, then the response is included in the first column
as.zoo logical. If TRUE (default), then the returned matrix is of class zoo
signif.stars logical. If TRUE, then p-values are additionally encoded visually, see printCoefmat
std logical. If FALSE (default), then the mean residuals are returned. If TRUE,
then the standardised residuals are returned
col colours of actual (default=blue) and fitted (default=red) lines
lty types of actual (default=solid) and fitted (default=solid) lines
lwd widths of actual (default=1) and fitted (default=1) lines
... additional arguments

Value
coef: a numeric vector containing parameter estimates
fitted: a zoo object with fitted values
logLik: log-likelihood (normal density)
coef.arx 17

model.matrix: a matrix with the regressors and, optionally, the response

plot: a plot of the fitted values and the residuals
print: a print of the estimation results
residuals: a zoo object with the residuals
sigma: the regression standard error (’SE of regression’)
summary: a print of the items in the arx object
vcov: variance-covariance matrix

Author(s)
Felix Pretis, http://www.felixpretis.org/
James Reade, https://sites.google.com/site/jjamesreade/
Moritz Schwarz, https://www.inet.ox.ac.uk/people/moritz-schwarz/
Genaro Sucarrat, http://www.sucarrat.net/

See Also
arx

Examples
##simulate from an AR(1):
set.seed(123)
y <- arima.sim(list(ar=0.4), 40)

##simulate four independent Gaussian regressors:

xregs <- matrix(rnorm(4*40), 40, 4)

##estimate an 'arx' model: An AR(2) with intercept and four conditioning

##regressors in the mean, and log-ARCH(3) in the variance:
mymod <- arx(y, mc=TRUE, ar=1:2, mxreg=xregs, arch=1:3)

##print results:
print(mymod)

##plot the fitted vs. actual values, and the residuals:

plot(mymod)

##print the entries of object 'mymod':

summary(mymod)

##extract coefficient estimates (automatically determined):

coef(mymod)

##extract mean coefficients only:

coef(mymod, spec="mean")

##extract log-variance coefficients only:

coef(mymod, spec="variance")
18 coef.gets

##extract all coefficient estimates:

coef(mymod, spec="both")

##extract regression standard error:

sigma(mymod)

##extract log-likelihood:
logLik(mymod)

##extract variance-covariance matrix of mean equation:

vcov(mymod)

##extract variance-covariance matrix of log-variance equation:

vcov(mymod, spec="variance")

##extract and plot the fitted mean values (automatically determined):

mfit <- fitted(mymod)
plot(mfit)

##extract and plot the fitted variance values:

vfit <- fitted(mymod, spec="variance")
plot(vfit)

##extract and plot both the fitted mean and variance values:
vfit <- fitted(mymod, spec="both")
plot(vfit)

##extract and plot the fitted mean values:

vfit <- fitted(mymod, spec="mean")
plot(vfit)

##extract and plot residuals:

epshat <- residuals(mymod)
plot(epshat)

##extract and plot standardised residuals:

zhat <- residuals(mymod, std=TRUE)
plot(zhat)

coef.gets Extraction functions for ’gets’ objects

Description
Extraction functions for objects of class ’gets’

Usage
## S3 method for class 'gets'
coef.gets 19

coef(object, spec=NULL, ...)

## S3 method for class 'gets'
fitted(object, spec=NULL, ...)
## S3 method for class 'gets'
logLik(object, ...)
## S3 method for class 'gets'
plot(x, spec=NULL, col=c("red","blue"),
lty=c("solid","solid"), lwd=c(1,1), ...)
## S3 method for class 'gets'
predict(object, spec=NULL, n.ahead=12, newmxreg=NULL,
newvxreg=NULL, newindex=NULL, n.sim=5000, innov=NULL, probs=NULL,
ci.levels=NULL, quantile.type=7, return=TRUE, verbose=FALSE, plot=NULL,
plot.options=list(), ...)
## S3 method for class 'gets'
print(x, signif.stars=TRUE, ...)
## S3 method for class 'gets'
residuals(object, std=NULL, ...)
## S3 method for class 'gets'
sigma(object, ...)
## S3 method for class 'gets'
summary(object, ...)
## S3 method for class 'gets'
vcov(object, spec=NULL, ...)

Arguments

object an object of class ’gets’

x an object of class ’gets’
spec NULL, "mean", "variance" or, in some instances, "both". When NULL is a valid
value, then it is automatically determined whether information pertaining to the
mean or variance specification should be returned
signif.stars logical. If TRUE, then p-values are additionally encoded visually, see printCoefmat
std logical. If FALSE (default), then the mean residuals are returned. If TRUE,
then the standardised residuals are returned
n.ahead integer that determines how many steps ahead predictions should be generated
(the default is 12)
newmxreg a matrix of n.ahead rows and NCOL(mxreg) columns with the out-of-sample
values of the mxreg regressors
newvxreg a matrix of n.ahead rows and NCOL(vxreg) columns with the out-of-sample
values of the vxreg regressors
newindex NULL (default) or the date-index for the zoo object returned by predict.arx. If
NULL, then the function uses the in-sample index to generate the out-of-sample
index
n.sim integer, the number of replications used for the generation of the forecasts
20 coef.gets

innov NULL (default) or a vector of length n.ahead * n.sim containing the standard-
ised errors (that is, zero mean and unit variance) used for the forecast simu-
lations. If NULL, then a classica bootstrap procedure is used to draw from the
standardised in-sample residuals
probs NULL (default) or a vector with the quantile-levels (values strictly between 0
and 1) of the forecast distribution. If NULL, then no quantiles are returned unless
ci.levels is non-NULL
ci.levels NULL (default) or a vector with the confidence levels (expressed as values strictly
between 0 and 1) of the forecast distribution. The upper and lower values of the
confidence interval(s) are returned as quantiles
quantile.type an integer between 1 and 9 that selects which algorithm to be used in computing
the quantiles, see the argument type in quantile
return logical. If TRUE (default), then the out-of-sample predictions are returned. The
value FALSE, which does not return the predictions, may be of interest if only a
prediction plot is of interest
verbose logical with default FALSE. If TRUE, then additional information (typically the
quantiles and/or the simulated series) used in the generation of forecasts is re-
turned. If FALSE, then only the forecasts are returned
plot NULL (default) or logical. If NULL, then the value set by options$plot (see
options) determines whether a plot is produced or not. If TRUE, then the out-
of-sample forecasts are plotted.
plot.options a list of options related to the plotting of forecasts, see ’Details’
col colours of fitted (default=red) and actual (default=blue) lines
lty types of fitted (default=solid) and actual (default=solid) lines
lwd widths of fitted (default=1) and actual (default=1) lines
... additional arguments

Details
The plot.options argument is a list that controls the prediction plot, see ’Details’ in predict.arx

Value
coef: a numeric vector containing parameter estimates
fitted: a zoo object with fitted values
logLik: a numeric, the log-likelihood (normal density)
plot: a plot of the fitted values and the residuals
predict: a vector of class zoo containing the out-of-sample forecasts, or a matrix of
class zoo containing the out-of-sample forecasts together with prediction-quantiles,
or - if return=FALSE - NULL
print: a print of the estimation results
residuals: a zoo object with the residuals
sigma: the regression standard error (’SE of regression’)
summary: a print of the items in the gets object
vcov: a variance-covariance matrix
coef.gets 21

Author(s)
Felix Pretis, http://www.felixpretis.org/
James Reade, https://sites.google.com/site/jjamesreade/
Moritz Schwarz, https://www.inet.ox.ac.uk/people/moritz-schwarz/
Genaro Sucarrat, http://www.sucarrat.net/

See Also
getsm, getsv, isat

Examples
##Simulate from an AR(1):
set.seed(123)
y <- arima.sim(list(ar=0.4), 100)

##Simulate four independent Gaussian regressors:

xregs <- matrix(rnorm(4*100), 100, 4)

##estimate an AR(2) with intercept and four conditioning

##regressors in the mean, and a log-ARCH(3) in the variance:
mymod <- arx(y, mc=TRUE, ar=1:2, mxreg=xregs, arch=1:3)

##General-to-Specific (GETS) model selection of the mean:

meanmod <- getsm(mymod)

##General-to-Specific (GETS) model selection of the variance:

varmod <- getsv(mymod)

##print results:
print(meanmod)
print(varmod)

##plot the fitted vs. actual values, and the residuals:

plot(meanmod)
plot(varmod)

##generate and plot predictions of the mean:

predict(meanmod, plot=TRUE)

##print the entries of object 'gets':

summary(meanmod)
summary(varmod)

##extract coefficients of the simplified (specific) model:

coef(meanmod) #mean spec
coef(varmod) #variance spec

##extract log-likelihood:
logLik(mymod)

##extract coefficient-covariance matrix of simplified

22 coef.isat

##(specific) model:
vcov(meanmod) #mean spec
vcov(varmod) #variance spec

##extract and plot the fitted values:

mfit <- fitted(meanmod) #mean fit
plot(mfit)
vfit <- fitted(varmod) #variance fit
plot(vfit)

##extract and plot residuals:

epshat <- residuals(meanmod)
plot(epshat)

##extract and plot standardised residuals:

zhat <- residuals(varmod)
plot(zhat)

coef.isat Extraction functions for ’isat’ objects

Description
Extraction functions for objects of class ’isat’

Usage
## S3 method for class 'isat'
coef(object, ...)
## S3 method for class 'isat'
fitted(object, ...)
## S3 method for class 'isat'
logLik(object, ...)
## S3 method for class 'isat'
plot(x, col=c("red","blue"), lty=c("solid","solid"),
lwd=c(1,1), coef.path=TRUE, ...)
## S3 method for class 'isat'
predict(object, n.ahead=12, newmxreg=NULL, newindex=NULL,
n.sim=2000, probs=NULL, ci.levels=NULL, quantile.type=7,
return=TRUE, verbose=FALSE, plot=NULL, plot.options=list(), ...)
## S3 method for class 'isat'
print(x, signif.stars=TRUE, ...)
## S3 method for class 'isat'
residuals(object, std=FALSE, ...)
## S3 method for class 'isat'
sigma(object, ...)
## S3 method for class 'isat'
coef.isat 23

summary(object, ...)
## S3 method for class 'isat'
vcov(object, ...)

Arguments
object an object of class ’isat’
x an object of class ’isat’
std logical. If FALSE (default), then the mean residuals are returned. If TRUE, then
the standardised residuals are returned
n.ahead integer that determines how many steps ahead predictions should be generated
(the default is 12)
newmxreg a matrix of n.ahead rows and NCOL(mxreg) columns with the out-of-sample
values of the mxreg regressors
newindex NULL (default) or the date-index for the zoo object returned by predict.arx. If
NULL, then the function uses the in-sample index to generate the out-of-sample
index
n.sim integer, the number of replications used for the generation of the forecasts
probs NULL (default) or a vector with the quantile-levels (values strictly between 0
and 1) of the forecast distribution. If NULL, then no quantiles are returned unless
ci.levels is non-NULL
ci.levels NULL (default) or a vector with the confidence levels (expressed as values strictly
between 0 and 1) of the forecast distribution. The upper and lower values of the
confidence interval(s) are returned as quantiles
quantile.type an integer between 1 and 9 that selects which algorithm to be used in computing
the quantiles, see the argument type in quantile
return logical. If TRUE (default), then the out-of-sample predictions are returned. The
value FALSE, which does not return the predictions, may be of interest if only a
prediction plot is of interest
verbose logical with default FALSE. If TRUE, then additional information (typically the
quantiles and/or the simulated series) used in the generation of forecasts is re-
turned. If FALSE, then only the forecasts are returned
plot NULL (default) or logical. If NULL, then the value set by options$plot (see
options) determines whether a plot is produced or not. If TRUE, then the out-
of-sample forecasts are plotted.
plot.options a list of options related to the plotting of forecasts, see ’Details’
col colours of fitted (default=red) and actual (default=blue) lines
lty types of fitted (default=solid) and actual (default=solid) lines
lwd widths of fitted (default=1) and actual (default=1) lines
coef.path logical. Only applicable if there are retained indicators after the application of
isat
signif.stars logical. If TRUE, then p-values are additionally encoded visually, see printCoefmat
... additional arguments
24 coef.isat

Details
The plot.options argument is a list that controls the prediction plot, see ’Details’ in predict.arx

Value
coef: numeric vector containing parameter estimates
fitted: a zoo object with fitted values
logLik: a numeric, the log-likelihood (normal density)
plot: plot of the fitted values and the residuals
predict: a vector of class zoo containing the out-of-sample forecasts, or a matrix of
class zoo containing the out-of-sample forecasts together with prediction-quantiles,
or - if return=FALSE - NULL
print: a print of the estimation results
residuals: a zoo object with the residuals
sigma: the regression standard error (’SE of regression’)
summary: a print of the items in the isat object
vcov: variance-covariance matrix

Author(s)
Felix Pretis, http://www.felixpretis.org/
James Reade, https://sites.google.com/site/jjamesreade/
Moritz Schwarz, https://www.inet.ox.ac.uk/people/moritz-schwarz/
Genaro Sucarrat, http://www.sucarrat.net/

See Also
paths, terminals, coef.gets, getsm, arx

Examples
##step indicator saturation:
set.seed(123)
y <- rnorm(30)
isatmod <- isat(y)

##print results:
print(isatmod)

##plot the fitted vs. actual values, and the residuals:

plot(isatmod)

##print the entries of object 'isatmod':

summary(isatmod)

##extract coefficients of the simplified (specific) model:

coef(isatmod)
coef.logitx 25

##extract log-likelihood:
logLik(isatmod)

##extract the coefficient-covariance matrix of simplified

##(specific) model:
vcov(isatmod)

##extract and plot the fitted values:

mfit <- fitted(isatmod)
plot(mfit)

##extract and plot (mean) residuals:

epshat <- residuals(isatmod)
plot(epshat)

##extract and plot standardised residuals:

zhat <- residuals(isatmod, std=TRUE)
plot(zhat)

##generate forecasts of the simplified (specific) model:

predict(isatmod, newmxreg=matrix(1,12,1), plot=TRUE)

coef.logitx Extraction functions for ’logitx’ objects

Description
Extraction functions (of type S3 methods) for objects of class ’logitx’

Usage
## S3 method for class 'logitx'
coef(object, ...)
## S3 method for class 'logitx'
fitted(object, zero.prob=FALSE, ...)
## S3 method for class 'logitx'
logLik(object, ...)
## S3 method for class 'logitx'
plot(x, ...)
## S3 method for class 'logitx'
print(x, signif.stars=TRUE, ...)
## S3 method for class 'logitx'
summary(object, ...)
## S3 method for class 'logitx'
toLatex(object, digits = 4, gof = TRUE, nonumber = FALSE, nobs = "T", ...)
## S3 method for class 'logitx'
vcov(object, ...)
26 coef.logitx

Arguments
object an object of class ’logitx’
x an object of class ’logitx’
zero.prob logical. If FALSE (default), then the probabilities of a one are returned as fitted
values. If TRUE, then the zero probabilities are returned as fitted values
signif.stars logical. If TRUE, then p-values are additionally encoded visually, see printCoefmat
digits integer, the number of digits in the LaTeX print
gof logical that determines whether goodness-of-fit information should be included
in the LaTeX print
nonumber logical that determines whether a "nonumber" tag should be added to each equa-
tion in the LaTeX print
nobs character that determines the label for the number of observations in the LaTeX
print
... additional arguments

Value
Various, depending on the method

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

See Also
logitx, logitxSim, gets.logitx

Examples

##simulate from ar(1):

set.seed(123) #for reproducibility
y <- logitxSim(100, ar=0.3)

##estimate and store result:

mymod <- logitx(y, ar=1)

##extract stuff:
coef(mymod)
fitted(mymod)
logLik(mymod)
plot(mymod)
print(mymod)
summary(mymod)
toLatex(mymod)
diagnostics 27

diagnostics Diagnostics tests

Description
Auxiliary function (i.e. not intended for the average user) called by the arx, getsm, getsv, isat,
getsFun and blocksFun functions. The diagnostics function undertakes tests for autocorrela-
tion, ARCH and non-normality in a residual series, and user-defined diagnostics provided via the
user.fun argument (see details). The autocorrelation and ARCH tests are conducted as Ljung and
Box (1979) tests for autocorrelation in the residuals and squared residuals, respectively, whereas
the test for non-normality is that of Jarque and Bera (1980).

Usage
diagnostics(x, ar.LjungB=c(1, 0.025), arch.LjungB=c(1, 0.025),
normality.JarqueB=NULL, verbose=TRUE, user.fun=NULL, ...)

Arguments
x a list, for example the estimation result of ols. The tests for serial correlation,
ARCH and normality look for an entry in the list named std.residuals or
residuals
ar.LjungB a two element vector or NULL. In the former case, the first element contains the
AR-order, the second element the significance level. If NULL, then a test for
autocorrelation is not conducted
arch.LjungB a two element vector or NULL. In the former case, the first element contains the
ARCH-order, the second element the significance level. If NULL, then a test for
ARCH is not conducted
normality.JarqueB
NULL (the default) or a value between 0 and 1. In the latter case, a test for non-
normality is conducted using a significance level equal to normality.JarqueB.
If NULL, then no test for non-normality is conducted
verbose logical. If TRUE, then a data.frame with the results of the diagnostics is re-
turned. If FALSE, then the return-value is a logical that indicates whether the
model passes the diagnostics (TRUE if it does, otherwise FALSE)
user.fun NULL or a list with at least one entry, name (must be of class character), which
should contain the name of the user-defined function. See details
... further arguments (ignored) to accommodate deleted arguments from past ver-
sions of the functions

Details
The argument user.fun enables the user to specify additional diagnostics. To do this, the argument
should be a list with at least one entry, name (of class character), that contains the name of the
user-defined function. The call to this function is executed with do.call, whose default value on
28 diagnostics

envir is parent.frame(). Usually, this will be the global environment (.GlobalEnv), but it can be
changed by adding an entry named envir to the list that indicates where the user-defined function
resides. If the verbose argument is set to FALSE, then an entry named pval must be provided. This
entry should contain the chosen significance level or levels, i.e. either a scalar or a vector of length
equal to the number of p-values returned by the user-defined diagnostics function (see examples).
The user can also specify whether a rejection of the tests should cause the diagnostics to fail (default
behaviour) or whether a rejection is desirable. For that purpose, a named entry is.reject.bad can
be added that stores a logical vector of length equal to the number of tests conducted in the user
diagnostics function. The first entry of the vector governs the diagnostic decision for the first row
that the user diagnostics function returns, the second entry the decision for the second row etc.
Additional entries in the list are passed on as arguments to the user-defined function.
The user-defined function should refer to the named items of the estimation result x (see examples),
and the value returned by the user-defined function should be a matrix of dimension m x 3. Here,
m is the number of diagnostic tests performed by the user-defined function. For example, if only
a single test is performed, then m = 1 and so the returned value should be a 1 x 3 matrix (or a
vector of length 3). The three columns of the m x 3 matrix should contain, in the following order,
1) the value(s) of the test-statistic(s) (or NA), 2) the degree(s) of freedom(s) (or NA) of the tests, and
3) the p-value(s) of the test(s). When checking whether the model passes the diagnostics or not,
the p-value(s) is(are) checked against the value(s) in the entry named pval in the list provided
to user.fun. By default, a calculated p-value below the corresponding element in pval causes the
diagnostics to fail. If a named entry is.reject.bad exists, this decision rule is only applied to tests
whose corresponding entry is TRUE while the decision rule is reversed for those with entry FALSE.
For these tests, the diagnostics fail if the hypothesis cannot be rejected.

Value

verbose=TRUE a data.frame that contains the diagnostics results

verbose=FALSE a logical (of length one) indicating whether the residuals and/or model passes
ALL the diagnostics (TRUE if it does, FALSE otherwise)

Author(s)

Genaro Sucarrat, http://www.sucarrat.net/

Jonas Kurle, https://www.jonaskurle.com/

References

C. Jarque and A. Bera (1980): ’Efficient Tests for Normality, Homoscedasticity and Serial Indepen-
dence’. Economics Letters 6, pp. 255-259
G. Ljung and G. Box (1979): ’On a Measure of Lack of Fit in Time Series Models’. Biometrika 66,
pp. 265-270

See Also

arx, getsm, getsv, isat, getsFun, blocksFun

distorttest 29

Examples
##generate some data:
set.seed(123)
vY <- rnorm(20) #the regressand
mX <- matrix(rnorm(3*20), 20, 3) #the regressors
est <- ols(vY,mX)

##return a data-frame with autocorrelation and ARCH diagnostics (default),

##and check whether they pass (the default p-value is 0.025):
diagnostics(est)
diagnostics(est, verbose=FALSE)

##add the Jarque-Bera normality test to the diagnostics (w/p-value=0.05):

diagnostics(est, normality.JarqueB=0.05)
diagnostics(est, normality.JarqueB=0.05, verbose=FALSE)

##user-defined Shapiro-Wilks test for non-normality of the residuals:

SWtest <- function(x, ...){
tmp <- shapiro.test(x$residuals)
return( c(tmp$statistic, NA, tmp$p.value) )
}
diagnostics(est, user.fun=list(name="SWtest", pval=0.05))
diagnostics(est, user.fun=list(name="SWtest", pval=0.05), verbose=FALSE)

##user-defined test but diagnostics fail if do not reject (illustration only)

diagnostics(est, user.fun=list(name="SWtest", pval=0.05, is.reject.bad = FALSE))
diagnostics(est, user.fun=list(name="SWtest", pval=0.05, is.reject.bad = FALSE),
verbose=FALSE)

distorttest Jiao-Pretis-Schwarz Outlier Distortion Test

Description
Implements the Jiao-Pretis-Schwarz test for coefficient distortion due to outliers by comparing co-
efficient estimates obtained using OLS to estimates obtained using the robust IIS estimator imple-
mented using isat. See the referenced Jiao-Pretis-Schwarz Paper below for more information.

Usage
distorttest(x, coef = "all")

Arguments
x object of class isat
coef Either "all" (Default) to test the distortion on all coefficients or a character vector
of explanatory variable names.
30 distorttest

Value

Object of class isat

Author(s)

Xiyu Jiao https://sites.google.com/view/xiyujiao

Felix Pretis http://www.felixpretis.org

Moritz Schwarz https://moritzschwarz.org

References

Xiyu Jiao, Felix Pretis,and Moritz Schwarz. Testing for Coefficient Distortion due to Outliers with
an Application to the Economic Impacts of Climate Change. Available at SSRN: https://www.
ssrn.com/abstract=3915040 or doi: 10.2139/ssrn.3915040

See Also

isat,distorttestboot

Examples

## Not run:
data(Nile)
nile <- isat(Nile, sis=FALSE, iis=TRUE, plot=TRUE, t.pval=0.01)
distorttest(nile)

data("hpdata")
# Another example with co-variates
dat <- hpdata[,c("GD", "GNPQ", "FSDJ")]
Y <- ts(dat$GD,start = 1959, frequency = 4)
mxreg <- ts(dat[,c("GNPQ","FSDJ")],start = 1959, frequency = 4)
m1 <- isat(y = Y, mc = TRUE, sis = FALSE, iis = TRUE)
m2 <- isat(y = Y, mc = TRUE, sis = FALSE, iis = TRUE, ar = 1)
m3 <- isat(y = Y, mxreg = mxreg, mc = TRUE, sis = FALSE, iis = TRUE)
m4 <- isat(y = Y, mxreg = mxreg, mc = TRUE, sis = FALSE, iis = TRUE, ar = 1, t.pval = 0.01)
distorttest(m1, coef = "all")
distorttest(m2, coef = "all")
distorttest(m3, coef = "GNPQ")
distorttest(m4, coef = c("ar1", "FSDJ"))

## End(Not run)
distorttestboot 31

distorttestboot Bootstrapped Jiao-Pretis-Schwarz Outlier Distortion Test

Description
Implements the Jiao-Pretis-Schwarz bootstrap test for coefficient distortion due to outliers by com-
paring coefficient estimates obtained using OLS to estimates obtained using the robust IIS estimator
implemented using isat. Three bootstrap schemes are available - using the original sample (not
recommended), the clean (outlier-removed) data, and using the clean (outlier-removed) sample with
scaled cut-offs used to detect outliers in IIS implemented using isat. See the referenced Jiao-Pretis-
Schwarz Paper below for more information.

Usage

distorttestboot(x, nboot, clean.sample = TRUE, parametric = FALSE, scale.t.pval = 1,

parallel.options = NULL, quantiles = c(0.90, 0.95, 0.99), ...)

##S3 printing method for objects of class 'distorttestboot':

## S3 method for class 'distorttestboot'
print(x, print.proportion = FALSE, ...)

Arguments
x object of class isat or the output of the distorttest function.
nboot numeric. Number of bootstrap replications. A high number of replications are
recommended for final estimation (more than 200 at least).
clean.sample logical. Whether the outlier-removed sample should be used in resampling.
parametric logical. Whether to use a parametric bootstrap. Default is non-parametric
(FALSE). Parametric currently not implemented for autoregressive models.
scale.t.pval numeric. Scaled target p-value (for selection) relative to the initial p-value used
in isat. Default is 1. E.g. a value of 0.5 would scale an initial target p-value of
0.05 to 0.025.
parallel.options
NULL (Default) or an integer, i.e. the number of cores/threads to be used for
parallel computing (implemented w/makeCluster and parLapply).
print.proportion
logical. Should the bootstraped Jiao-Pretis Outlier Proportion Test be printed.
Default is FALSE.
quantiles numeric vector. Quantiles to be shown based on the bootstrapped results. De-
fault is c(0.90, 0.95, 0.99).
... Further arguments passed to isat.

Value
A list including an object of class h-test.
32 distorttestboot

Author(s)
Xiyu Jiao https://sites.google.com/view/xiyujiao

Felix Pretis http://www.felixpretis.org

Moritz Schwarz https://moritzschwarz.org

References
Xiyu Jiao, Felix Pretis,and Moritz Schwarz. Testing for Coefficient Distortion due to Outliers with
an Application to the Economic Impacts of Climate Change. Available at SSRN: https://www.
ssrn.com/abstract=3915040 or doi: 10.2139/ssrn.3915040

See Also
isat,distorttest

Examples
## Not run:
data(Nile)
nile <- isat(Nile, sis=FALSE, iis=TRUE, plot=TRUE, t.pval=0.01)

distorttest(nile)
# bootstrap (with nboot = 5 to save time. Higher replications are recommended)
distorttestboot(nile, nboot = 5)

data("hpdata")
# Another example with co-variates
dat <- hpdata[,c("GD", "GNPQ", "FSDJ")]
Y <- ts(dat$GD,start = 1959, frequency = 4)
mxreg <- ts(dat[,c("GNPQ","FSDJ")],start = 1959, frequency = 4)
m1 <- isat(y = Y, mc = TRUE, sis = FALSE, iis = TRUE)
m2 <- isat(y = Y, mc = TRUE, sis = FALSE, iis = TRUE, ar = 1)
m3 <- isat(y = Y, mxreg = mxreg, mc = TRUE, sis = FALSE, iis = TRUE)
m4 <- isat(y = Y, mxreg = mxreg, mc = TRUE, sis = FALSE, iis = TRUE, ar = 1, t.pval = 0.01)
distorttest(m1, coef = "all")
distorttest(m2, coef = "all")
distorttest(m3, coef = "GNPQ")
distorttest(m4, coef = c("ar1", "FSDJ"))

# bootstrap (with nboot = 5 to save time. Higher replications are recommended)

distorttestboot(m1, nboot = 5)
distorttestboot(m2, nboot = 5)
distorttestboot(m3, nboot = 5)
distorttestboot(m4, nboot = 5)
distorttestboot(m4, nboot = 5, parametric = TRUE, scale.t.pval = 0.5)
dropvar 33

## End(Not run)

dropvar Drop variable

Description
Drops columns in a matrix to avoid perfect multicollinearity.

Usage
dropvar(x, tol=1e-07, LAPACK=FALSE, silent=FALSE)

Arguments
x a matrix, possibly less than full column rank.
tol numeric value. The tolerance for detecting linear dependencies among regres-
sors, see qr function. Only used if LAPACK is FALSE
LAPACK logical, TRUE or FALSE (default). If true use LAPACK otherwise use LIN-
PACK, see qr function
silent logical, TRUE (default) or FALSE. Whether to print a notification whenever a
regressor is removed

Details
Original function drop.coef developed by Rune Haubo B. Christensen in package ordinal, https:
//cran.r-project.org/package=ordinal.

Value
a matrix whose regressors linearly independent

Author(s)
Rune Haubo B. Christensen, with modifications by Genaro Sucarrat, http://www.sucarrat.net/

References
Rune H.B. Christensen (2014): ’ordinal: Regression Models for Ordinal Data’. https://cran.
r-project.org/package=ordinal

See Also
isat
34 eqwma

Examples
set.seed(1)
x <- matrix(rnorm(20), 5)
dropvar(x) #full rank, none are dropped

x[,4] <- x[,1]*2

dropvar(x) #less than full rank, last column dropped

eqwma Equally Weighted Moving Average (EqWMA) of the pth. exponentiated

values

Description
The function eqwma returns an Equally Weighted Moving Average (EqWMA) of the pth. exponen-
tiated values lagged k times (the default of k is 1). Optionally, the absolute values are computed
before averaging if abs=TRUE, and the natural log of the values is returned if log=TRUE. The function
leqwma is a wrapper to eqwma with abs=TRUE and log=TRUE.
If x is financial return (possibly mean-corrected) and p=2, then this gives the socalled ’historical’
model, also known as an integrated ARCH model where the ARCH coefficients all have the same
value with sum equal to one. In the log-variance specification the lag of log(EqWMA) is thus a
financial volatility proxy. It may be an imperfect proxy compared with high-frequency data (which
can also be included as regressors), but - in contrast to high-frequency data - is always available and
easy to compute.

Usage
eqwma(x, length=5, k=1, p=1, abs=FALSE, log=FALSE, as.vector=FALSE,
lag=NULL, start=NULL)
leqwma(x, length=5, k=1, p=2, as.vector=FALSE, lag=NULL, start=NULL)

Arguments
x numeric vector, time-series or zoo object
length integer or vector of integers each equal to or greater than 1. The length or lengths
of the moving window or windows of averages
k integer that determines how many periods the term(s) should be lagged. If 0 (or
smaller), then the moving averages are not lagged
p numeric value. The exponent p in x^p when abs=FALSE, and in abs(x)^p when
abs=TRUE
log logical with default FALSE. If TRUE, then the logarithm of the moving average is
returned
abs logical with default FALSE. If TRUE, then x is transformed to absolute values
before x is exponentiated
eqwma 35

as.vector logical with default FALSE. If TRUE, and if length(length)==1, then the result
is returned as a vector. Otherwise the returned value is always a matrix
lag deprecated
start deprecated

Details
The intended primary use of eqwma is to construct mixed frequency regressors for the mean speci-
fication of an arx model.
The intended primary use of leqwma is to construct volatility proxies for the log-variance speci-
fication in an arx model. In the latter case, the default is the lagged log of an equally weighted
moving average of the squared residuals, where each average is made up of m observations. This
is equivalent to an integrated ARCH(p) model where the p coefficients are all equal. For further
details on the use of log(EqWMA) as a volatility proxy, see Sucarrat and Escribano (2012).

Value
numeric matrix, vector or zoo object

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

References
Genaro Sucarrat and Alvaro Escribano (2012): ’Automated Financial Model Selection: General-to-
Specific Modelling of the Mean and Volatility Specifications’, Oxford Bulletin of Economics and
Statistics 74, Issue no. 5 (October), pp. 716-735
Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): ’Automated General-to-Specific (GETS)
Regression Modeling and Indicator Saturation for Outliers and Structural Breaks’. Journal of Sta-
tistical Software 86, Number 3, pp. 1-44

See Also
zoo, arx, getsm, getsv

Examples
##generate an iid normal series:
set.seed(123)
x <- rnorm(100)

##compute lag of EqWMA(20) for x^2:

eqwma(x, p=2)

##compute lag of EqWMA(5) and lag of EqWMA(10) for x:

eqwma(x, length=c(5,10))

##compute lag of log(EqWMA(20)) for x^2:

36 ES

leqwma(x)

#compute lag of log(EqWMA(5)) and lag of log(EqWMA(8))

#for abs(x)^2:
leqwma(x, length=c(4,8))

ES Conditional Value-at-Risk (VaR) and Expected Shortfall (ES)

Description

Extract the in-sample conditional Value-at-Risk, or the in-sample conditional Expected Shortfall for
the chosen risk level(s).

Usage

ES(object, level=0.99, type=7, ...)

VaR(object, level=0.99, type=7, ...)

Arguments

object an arx or gets object

level the risk level(s), must be between 0 and 1
type the method used to compute the empirical quantiles of the standardised residuals
... arguments passed on (currently not used)

Value

A vector or matrix containing either the conditional Value-at-Risk (VaR) or the conditional Expected
Shortfall (ES) for the chosen risk level(s).

Author(s)

Genaro Sucarrat, http://www.sucarrat.net/

See Also

arx, getsm, getsv

eviews 37

Examples
##generate random variates, estimate model:
y <- rnorm(50)
mymodel <- arx(y, arch=1)

##extract 99% expected shortfall:

ES(mymodel)

##extract 99%, 95% and 90% expected shortfalls:

ES(mymodel, level=c(0.99, 0.95, 0.9))

##extract 99% value-at-risk:

VaR(mymodel)

##extract 99%, 95% and 90% values-at-risk:

VaR(mymodel, level=c(0.99, 0.95, 0.9))

eviews Exporting results to EViews and STATA

Description
Functions that facilitate the export of results to the commercial econometric softwares EViews and
STATA, respectively.

Usage
eviews(object, file=NULL, print=TRUE, return=FALSE)
stata(object, file=NULL, print=TRUE, return=FALSE)

Arguments
object an arx, gets or isat object
file filename, i.e. the destination of the exported data
print logical. If TRUE, then the estimation code in EViews (or STATA) is printed
return logical. If TRUE, then a list is returned

Value
Either printed text or a list (if return=TRUE)

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

See Also
arx, getsm, getsv, isat
38 gets

Examples
##simulate random variates, estimate model:
y <- rnorm(30)
mX <- matrix(rnorm(30*2), 30, 2)
mymod <- arx(y, mc=TRUE, mxreg=mX)

##print EViews code:

eviews(mymod)

##print Stata code:

stata(mymod)

gets General-to-Specific (GETS) Modelling

Description
Generic function for GETS modelling. Note that gets.arx is a convenience wrapper to getsm and
getsv. For specific GETS methods for lm, logitx and isat models, see gets.lm, gets.logitx
and gets.isat, respectively. For an overview of the gets package, see gets-package.

Usage
gets(x, ...)

## S3 method for class 'arx'

gets(x, spec=NULL, ...)

Arguments
x an object to be subjected to GETS modelling
spec NULL (default), "mean" or "variance". If "mean", then getsm is called. If
"variance", then getsv is called. If NULL, then it is automatically determined
whether GETS-modelling of the mean or log-variance specification should be
undertaken.
... further arguments passed to or from other methods

Details
gets.arx is a convenience wrapper to getsm and getsv.

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

See Also
getsm, getsv, getsFun
gets.isat 39

gets.isat General-to-Specific (GETS) Modelling ’isat’ objects

Description
General-to-Specific (GETS) Modelling of a objects of class isat.

Usage
## S3 method for class 'isat'
gets(x, t.pval=0.05, wald.pval=t.pval, vcov.type=NULL,
do.pet=TRUE, ar.LjungB=list(lag=NULL, pval=0.025),
arch.LjungB=list(lag=NULL, pval=0.025), normality.JarqueB=NULL,
user.diagnostics=NULL, info.method=c("sc","aic","aicc","hq"),
gof.function=NULL, gof.method=NULL, keep=NULL, include.gum=FALSE,
include.1cut=TRUE, include.empty=FALSE, max.paths=NULL, tol=1e-07,
turbo=FALSE, print.searchinfo=TRUE, plot=NULL, alarm=FALSE,...)

Arguments
x an object of class ’isat’
t.pval numeric value between 0 and 1. The significance level used for the two-sided
regressor significance t-tests
wald.pval numeric value between 0 and 1. The significance level used for the Parsimonious
Encompassing Tests (PETs). By default, it is the same as t.pval
vcov.type the type of variance-covariance matrix used. If NULL (default), then the type
used in the estimation of the ’arx’ object is used. This can be overridden by
either "ordinary" (i.e. the ordinary variance-covariance matrix) or "white" (i.e.
the White (1980) heteroscedasticity robust variance-covariance matrix)
do.pet logical. If TRUE (default), then a Parsimonious Encompassing Test (PET) against
the GUM is undertaken at each regressor removal for the joint significance of
all the deleted regressors along the current path. If FALSE, then a PET is not
undertaken at each regressor removal
ar.LjungB a two-item list with names lag and pval, or NULL. In the former case lag con-
tains the order of the Ljung and Box (1979) test for serial correlation in the stan-
dardised residuals, and pval contains the significance level. If lag=NULL (de-
fault), then the order used is that of the estimated ’arx’ object. If ar.Ljungb=NULL,
then the standardised residuals are not checked for serial correlation
arch.LjungB a two-item list with names lag and pval, or NULL. In the former case, lag
contains the order of the Ljung and Box (1979) test for serial correlation in
the squared standardised residuals, and pval contains the significance level. If
lag=NULL (default), then the order used is that of the estimated ’arx’ object. If
arch.Ljungb=NULL, then the standardised residuals are not checked for ARCH
40 gets.isat

normality.JarqueB
a value between 0 and 1, or NULL. In the former case, the Jarque and Bera (1980)
test for non-normality is conducted using a significance level equal to the nu-
meric value. If NULL, then no test for non-normality is undertaken
user.diagnostics
NULL or a list with two entries, name and pval, see the user.fun argument in
diagnostics
info.method character string, "sc" (default), "aic" or "hq", which determines the information
criterion to be used when selecting among terminal models. The abbreviations
are short for the Schwarz or Bayesian information criterion (sc), the Akaike
information criterion (aic) and the Hannan-Quinn (hq) information criterion
gof.function NULL (default) or a list, see getsFun. If NULL, then infocrit is used
gof.method NULL (default) or a character, see getsFun. If NULL and gof.function is also
NULL, then the best goodness-of-fit is characterised by a minimum value
keep the regressors to be excluded from removal in the specification search. Note
that keep=c(1) is obligatory when using getsv. This excludes the log-variance
intercept from removal. The regressor numbering is contained in the reg.no
column of the GUM
include.gum logical. If TRUE, then the GUM (i.e. the starting model) is included among the
terminal models. If FALSE (default), then the GUM is not included
include.1cut logical. If TRUE, then the 1-cut model is added to the list of terminal models. If
FALSE (default), then the 1-cut is not added, unless it is a terminal model in one
of the paths
include.empty logical. If TRUE, then an empty model is included among the terminal models,
if it passes the diagnostic tests, even if it is not equal to one of the terminals.
If FALSE (default), then the empty model is not included (unless it is one of the
terminals)
max.paths NULL (default) or an integer greater than 0. If NULL, then there is no limit to the
number of paths. If an integer (e.g. 1), then this integer constitutes the maximum
number of paths searched (e.g. a single path)
tol numeric value. The tolerance for detecting linear dependencies in the columns
of the variance-covariance matrix when computing the Wald-statistic used in the
Parsimonious Encompassing Tests (PETs), see the qr.solve function
turbo logical. If TRUE, then (parts of) paths are not searched twice (or more) unneces-
sarily, thus yielding a significant potential for speed-gain. However, the check-
ing of whether the search has arrived at a point it has already been comes with
a slight computational overhead. Accordingly, if turbo=TRUE, then the total
search time might in fact be higher than if turbo=FALSE. This happens if es-
timation is very fast, say, less than quarter of a second. Hence the default is
FALSE
print.searchinfo
logical. If TRUE (default), then a print is returned whenever simiplification along
a new path is started
plot NULL or logical. If TRUE, then the fitted values and the residuals of the final
model are plotted after model selection. If FALSE, then they are not. If NULL
gets.lm 41

(default), then the value set by options determines whether a plot is produced
or not
alarm logical. If TRUE, then a sound or beep is emitted (in order to alert the user) when
the model selection ends
... further arguments passed on to and from methods

Details
Internally, gets.isat invokes getsm for the GETS-modelling.

Value
A list of class gets.

Author(s)
Moritz Schwarz, https://www.inet.ox.ac.uk/people/moritz-schwarz/
Genaro Sucarrat, http://www.sucarrat.net/

See Also
isat, getsm, getsFun, paths and terminals

Examples

##generate some data:

#set.seed(123) #for reproducibility
#y <- rnorm(30) #generate Y
#isatmod <- isat(y)
#gets(isatmot)

gets.lm General-to-Specific (GETS) Modelling ’lm’ objects

Description
General-to-Specific (GETS) Modelling of objects of class lm.

Usage
## S3 method for class 'lm'
gets(x, keep = NULL, include.1cut = TRUE, print.searchinfo = TRUE, ...)
42 gets.lm

Arguments
x an object of class ’lm’, see lm
keep NULL or a vector of integers that determines which regressors to be excluded
from removal in the specification search
include.1cut logical. If TRUE (default), then the 1-cut model is added to the list of terminal
models. If FALSE, then the 1-cut is not added, unless it is a terminal model in
one of the paths
print.searchinfo
logical. If TRUE (default), then selected info is printed during search
... further arguments passed on to getsFun

Details
Internally, gets.lm invokes getsFun for the GETS-modelling, which is also invoked by getsm.
See their help pages for more information.

Value
A list of class lm. Note that the ’top’ of the list contains information (paths and terminal models)
from the GETS modelling, see paths and terminals

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

See Also
lm, getsFun, getsm, paths and terminals

Examples

##generate some data:

set.seed(123) #for reproducibility
y <- rnorm(30) #generate Y
x <- matrix(rnorm(30*10), 30, 10) #matrix of Xs
colnames(x) <- paste0("var", 1:NCOL(x))

##estimate model:
mymod <- lm(y ~ x)

##do gets modelling:

gets(mymod)

##ensure intercept is not removed:

gets(mymod, keep=1)
gets.logitx 43

gets.logitx General-to-Specific (GETS) Modelling of objects of class ’logitx’

Description
General-to-Specific (GETS) Modelling of a dynamic Autoregressive (AR) logit model with covari-
ates (’X’) of class ’dlogitx’.

Usage
## S3 method for class 'logitx'
gets(x, t.pval = 0.05, wald.pval = t.pval, do.pet = TRUE,
user.diagnostics = NULL, keep = NULL, include.gum = FALSE,
include.1cut = TRUE, include.empty = FALSE, max.paths = NULL,
turbo = TRUE, print.searchinfo = TRUE, plot = NULL, alarm = FALSE,
...)

Arguments
x an object of class ’logitx’, see logitx
t.pval numeric value between 0 and 1. The significance level used for the two-sided
regressor significance t-tests
wald.pval numeric value between 0 and 1. The significance level used for the Parsimonious
Encompassing Tests (PETs). By default, it is the same as t.pval
do.pet logical that determines whether a Parsimonious Encompassing Test (PET)
against the GUM should be undertaken at each regressor removal for the joint
significance of all the deleted regressors along the current path. If FALSE, then a
PET is not undertaken at each regressor removal
user.diagnostics
NULL (default) or a list with two entries, name and pval, see getsFun
keep NULL or a vector of integers that determines which regressors to be excluded
from removal in the specification search
include.gum logical that determines whether the GUM (i.e. the starting model) should be
included among the terminal models. If FALSE (default), then the GUM is not
included
include.1cut logical that determines whether the 1-cut model should be added to the list of
terminal models. If FALSE (default), then the 1-cut is not added, unless it is a
terminal model in one of the paths
include.empty logical that determines whether an empty model should be added to the list
of terminal models, if it passes the diagnostic tests. If FALSE (default), then the
empty model is not added, unless it is a terminal model in one of the paths
max.paths NULL (default) or an integer greater than 0. If NULL, then there is no limit to the
number of paths. If an integer (e.g. 1), then this integer constitutes the maximum
number of paths searched (e.g. a single path)
44 gets.logitx

turbo logical. If TRUE (the default), then (parts of) paths are not searched twice (or
more) unnecessarily, thus yielding a significant potential for speed-gain. The
checking of whether the search has arrived at a point it has already been at
comes with a slight computational overhead. So faster search is not guaranteed
when turbo=TRUE
print.searchinfo
logical. If TRUE (default), then a print is returned whenever simiplification
along a new path is started
plot NULL or logical. If TRUE, then a plot is produced. If NULL (default), then the
value set by options determines whether a plot is produced or not
alarm logical. If TRUE, then a sound or beep is emitted (in order to alert the user)
when the model selection ends
... further arguments passed to or from other methods

Details
The model of class ’logitx’ is a dynamic Autoregressive (AR) logit model with (optional) covariates
(’X’) proposed by Kauppi and Saikkonen (2008). Internally, gets.logitx undertakes the General-
to-Specific (GETS) modelling with the getsFun function, see Sucarrat (2020).

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

References
Heikki Kauppi and Penti Saikkonen (2008): ’Predicting U.S. Recessions with Dynamic Binary
Response Models’. The Review of Economic Statistics 90, pp. 777-791

See Also
logitx, logitxSim, coef.logitx, getsFun

Examples

##simulate from ar(1), create covariates:

set.seed(123) #for reproducibility
y <- logitxSim(100, ar=0.3)
x <- matrix(rnorm(5*100), 100, 5)

##estimate model:
mymod <- logitx(y, ar=1:4, xreg=x)

##do gets modelling:

gets(mymod)
getsFun 45

getsFun General-to-Specific (GETS) modelling function

Description
Auxiliary function (i.e. not intended for the average user) that enables fast and efficient GETS-
modelling with user-specified estimators and models, and user-specified diagnostics and goodness-
of-fit criteria. The function is called by and relied upon by getsm, getsv, isat and blocksFun.

Usage
getsFun(y, x, untransformed.residuals=NULL,
user.estimator=list(name="ols"), gum.result=NULL, t.pval=0.05,
wald.pval=t.pval, do.pet=TRUE, ar.LjungB=NULL, arch.LjungB=NULL,
normality.JarqueB=NULL, user.diagnostics=NULL,
gof.function=list(name="infocrit"), gof.method=c("min", "max"),
keep=NULL, include.gum=FALSE, include.1cut=FALSE,
include.empty=FALSE, max.paths=NULL, turbo=FALSE, tol=1e-07,
LAPACK=FALSE, max.regs=NULL, print.searchinfo=TRUE, alarm=FALSE)

Arguments
y a numeric vector (with no missing values, i.e. no non-numeric ’holes’)
x a matrix or NULL
untransformed.residuals
NULL (default) or, when ols is used with method=6 in user.estimator, a nu-
meric vector containing the untransformed residuals
user.estimator a list. The first item should be named name and contain the name (a character)
of the estimation function (the default is "ols"). Additional items, if any, in the
list user.estimator are passed on as arguments to the estimator in question.
Optionally, the list can also contain an item named envir, a character, which
indicates the environment in which the user-specified estimator resides. The
value returned by the user-specified estimator should be a list, see details
gum.result a list with the estimation results of the General Unrestricted Model (GUM), or
NULL (default). If the estimation results of the GUM are already available, then
re-estimation of the GUM is skipped if the estimation results are provided via
this argument
t.pval numeric value between 0 and 1. The significance level used for the two-sided
regressor significance t-tests
wald.pval numeric value between 0 and 1. The significance level used for the Parsimo-
nious Encompassing Tests (PETs)
do.pet logical. If TRUE (default), then a Parsimonious Encompassing Test (PET)
against the GUM is undertaken at each regressor removal for the joint signif-
icance of all the deleted regressors along the current path. If FALSE, then a PET
is not undertaken at each regressor removal
46 getsFun

ar.LjungB a two element vector or NULL (default). In the former case, the first element
contains the AR-order, the second element the significance level. If NULL, then
a test for autocorrelation is not conducted
arch.LjungB a two element vector or NULL (default). In the former case, the first element
contains the ARCH-order, the second element the significance level. If NULL,
then a test for ARCH is not conducted
normality.JarqueB
NULL or a numeric value between 0 and 1. In the latter case, a test for non-
normality is conducted using a significance level equal to normality.JarqueB.
If NULL, then no test for non-normality is conducted
user.diagnostics
NULL (default) or a list with two entries, name and pval. The first item (name)
should contain the name of the user-defined function, and must be of class
character. The second item should contain the chosen significance level or
levels, i.e. either a scalar or a vector of length equal to the number of p-values
returned by the user-defined diagnostics function, see details. Optionally, the
list user.diagnostics can also contain a third item named envir, a character,
which indicates the environment in which the user-defined function resides
gof.function a list. The first item should be named name and contain the name (a charac-
ter) of the Goodness-of-Fit (GOF) function used. Additional items in the list
gof.function are passed on as arguments to the GOF-function. The value re-
turned by the GOF-function should be a numeric value (of length 1). Optionally,
the list gof.function can also contain an item named envir, a character, which
indicates the environment in which the user-defined function resides
gof.method a character. Determines whether the best Goodness-of-Fit is a minimum or
maximum
keep NULL or an integer vector that indicates which regressors to be excluded from
removal in the search
include.gum logical. If TRUE, then the GUM (i.e. the starting model) is included among the
terminal models. If FALSE (default), then the GUM is not included
include.1cut logical. If TRUE, then the 1-cut model is added to the list of terminal models.
If FALSE (default), then the 1-cut is not added, unless it is a terminal model in
one of the paths
include.empty logical. If TRUE, then the empty model is added to the list of terminal models.
If FALSE (default), then the empty model is not added, unless it is a terminal
model in one of the paths
max.paths NULL (default) or an integer greater than 0. If NULL, then there is no limit to the
number of paths. If an integer (e.g. 1), then this integer constitutes the maximum
number of paths searched (e.g. a single path)
turbo logical. If TRUE, then (parts of) paths are not searched twice (or more) un-
necessarily, thus yielding a significant potential for speed-gain. However, the
checking of whether the search has arrived at a point it has already been comes
with a slight computational overhead. Accordingly, if turbo=TRUE, then the to-
tal search time might in fact be higher than if turbo=FALSE. This happens if
estimation is very fast, say, less than quarter of a second. Hence the default is
FALSE
getsFun 47

tol numeric value (default = 1e-07). The tolerance for detecting linear depen-
dencies in the columns of the variance-covariance matrix when computing the
Wald-statistic used in the Parsimonious Encompassing Tests (PETs), see the
qr.solve function
LAPACK currently not used
max.regs integer. The maximum number of regressions along a deletion path. Do not
alter unless you know what you are doing!
print.searchinfo
logical. If TRUE (default), then a print is returned whenever simiplification
along a new path is started
alarm logical. If TRUE, then a sound or beep is emitted (in order to alert the user)
when the model selection ends

Details
The value returned by the estimator specified in user.estimator should be a list containing at
least six items: "coefficients", "df", "vcov", "logl", "n" and "k". The item "coefficients" should be
a vector of length NCOL(x) containing the estimated coefficients. The item named "df" is used to
compute the p-values associated with the t-statistics, i.e. coef/std.err. The item named "vcov" con-
tains the (symmetric) coefficient-covariance matrix of the estimated coefficients. The items "logl"
(the log-likelihood), "n" (the number of observations) and "k" (the number of estimated parameters;
not necessarily equal to the number of coefficients) are used to compute the information criterion.
Finally, the estimator MUST be able to handle empty regressor-matrices (i.e. is.null(x)=TRUE or
NCOL(x)=0). In this case, then the first three items (i.e. "coefficients", "df" and "vcov") can - and
should - be NULL.
The argument user.estimator enables the user to specify an estimator that differs from the default
(ols). To do this, the argument should be a list with at least one entry, name (of class character), that
contains the name of the user-defined function. The call to this function is executed with do.call,
whose default value on envir is parent.frame(). Usually, this will be the global environment
(.GlobalEnv), but it can be changed by adding an entry named envir to the list that indicates
where the user-defined function resides.
The argument user.diagnostics enables the user to specify additional - or alternative - diagnos-
tics, see diagnostics.
The argument gof.function enables the user to specify a goodness-of-fit function that differs from
the default (infocrit). The principles to follow are the same as that of user.estimator: The
argument should be a list with at least one entry, name, that contains the name of the user-defined
function, additional entries in the list are passed on to the user-specified goodness-of-fit function,
and optionally an entry named envir may indicate where the user-defined function resides.

Value
A list with the results of the specification search.

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/
48 getsFun

References
C. Jarque and A. Bera (1980): ’Efficient Tests for Normality, Homoscedasticity and Serial Indepen-
dence’. Economics Letters 6, pp. 255-259
G. Ljung and G. Box (1979): ’On a Measure of Lack of Fit in Time Series Models’. Biometrika 66,
pp. 265-270
F. Pretis, J. Reade and G. Sucarrat (2018): ’Automated General-to-Specific (GETS) Regression
Modeling and Indicator Saturation for Outliers and Structural Breaks’. Journal of Statistical Soft-
ware 86, Number 3, pp. 1-44
G. sucarrat (2019): ’User-Specified General-to-Specific and Indicator Saturation Methods’, Munich
Personal RePEc Archive: https://mpra.ub.uni-muenchen.de/96653/

See Also
ols, diagnostics, infocrit, getsv

Examples
##aim: do gets on the x-part (i.e. the covariates) of an arma-x model.
##create the user-defined estimator (essentially adding, renaming
##and re-organising the items returned by the estimator):
myEstimator <- function(y, x)
{
tmp <- arima(y, order=c(1,0,1), xreg=x)

#rename and re-organise:

result <- list()
result$coefficients <- tmp$coef[-c(1:3)]
result$vcov <- tmp$var.coef
result$vcov <- result$vcov[-c(1:3),-c(1:3)]
result$logl <- tmp$loglik
result$n <- tmp$nobs
result$k <- NCOL(x)
result$df <- result$n - result$k

return(result)
}

##generate some data:

##a series w/structural break and eleven step-dummies near the break
set.seed(123)
eps <- arima.sim(list(ar=0.4, ma=0.1), 60)
x <- coredata(sim(eps, which.ones=25:35)) #eleven step-dummies
y <- 4*x[,"sis30"] + eps #create shift upwards at observation 30
plot(y)

##estimate the gum and then do gets in a single step:

##getsFun(y, x, user.estimator=list(name="myEstimator"))

##estimate the gum and then do gets in two steps:

#mygum <- myEstimator(y, x)
getsm 49

##getsFun(y, x, user.estimator=list(name="myEstimator"), gum.result=mygum)

getsm General-to-Specific (GETS) Modelling of an AR-X model (the mean

specification) with log-ARCH-X errors (the log-variance specifica-
tion).

Description
The starting model, an object of the ’arx’ class, is referred to as the General Unrestricted Model
(GUM). The getsm function undertakes multi-path GETS modelling of the mean specification,
whereas getsv does the same for the log-variance specification. The diagnostic tests are undertaken
on the standardised residuals, and the keep option enables regressors to be excluded from possible
removal.

Usage
##GETS-modelling of mean specification:
getsm(object, t.pval=0.05, wald.pval=t.pval, vcov.type=NULL,
do.pet=TRUE, ar.LjungB=list(lag=NULL, pval=0.025),
arch.LjungB=list(lag=NULL, pval=0.025), normality.JarqueB=NULL,
user.diagnostics=NULL, info.method=c("sc","aic","aicc", "hq"),
gof.function=NULL, gof.method=NULL, keep=NULL, include.gum=FALSE,
include.1cut=TRUE, include.empty=FALSE, max.paths=NULL, tol=1e-07,
turbo=FALSE, print.searchinfo=TRUE, plot=NULL, alarm=FALSE)

##GETS modelling of log-variance specification:

getsv(object, t.pval=0.05, wald.pval=t.pval,
do.pet=TRUE, ar.LjungB=list(lag=NULL, pval=0.025),
arch.LjungB=list(lag=NULL, pval=0.025), normality.JarqueB=NULL,
user.diagnostics=NULL, info.method=c("sc","aic","aicc","hq"),
gof.function=NULL, gof.method=NULL, keep=c(1), include.gum=FALSE,
include.1cut=TRUE, include.empty=FALSE, max.paths=NULL, tol=1e-07,
turbo=FALSE, print.searchinfo=TRUE, plot=NULL, alarm=FALSE)

Arguments
object an object of class ’arx’
t.pval numeric value between 0 and 1. The significance level used for the two-sided
regressor significance t-tests
wald.pval numeric value between 0 and 1. The significance level used for the Parsimonious
Encompassing Tests (PETs). By default, it is the same as t.pval
vcov.type the type of variance-covariance matrix used. If NULL (default), then the type
used in the estimation of the ’arx’ object is used. This can be overridden by
either "ordinary" (i.e. the ordinary variance-covariance matrix) or "white" (i.e.
the White (1980) heteroscedasticity robust variance-covariance matrix)
50 getsm

do.pet logical. If TRUE (default), then a Parsimonious Encompassing Test (PET) against
the GUM is undertaken at each regressor removal for the joint significance of
all the deleted regressors along the current path. If FALSE, then a PET is not
undertaken at each regressor removal
ar.LjungB a list with named items lag and pval, a two-element numeric vector where
the first element contains the lag and the second the p-value, or NULL. In the
first case, lag contains the order of the Ljung and Box (1979) test for serial cor-
relation in the standardised residuals, and pval contains the significance level.
If lag=NULL (default), then the order used is that of the estimated ’arx’ object.
If ar.Ljungb=NULL, then the standardised residuals are not checked for serial
correlation
arch.LjungB a list with named items lag and pval, a two-element numeric vector where
the first element contains the lag and the second the p-value, or NULL. In the first
case, lag contains the order of the Ljung and Box (1979) test for serial corre-
lation in the squared standardised residuals, and pval contains the significance
level. If lag=NULL (default), then the order used is that of the estimated ’arx’
object. If arch.Ljungb=NULL, then the standardised residuals are not checked
for ARCH
normality.JarqueB
a value between 0 and 1, or NULL. In the former case, the Jarque and Bera (1980)
test for non-normality is conducted using a significance level equal to the nu-
meric value. If NULL, then no test for non-normality is undertaken
user.diagnostics
NULL or a list with two entries, name and pval, see the user.fun argument in
diagnostics
info.method character string, "sc" (default), "aic" or "hq", which determines the information
criterion to be used when selecting among terminal models. The abbreviations
are short for the Schwarz or Bayesian information criterion (sc), the Akaike
information criterion (aic) and the Hannan-Quinn (hq) information criterion
gof.function NULL (default) or a list, see getsFun. If NULL, then infocrit is used
gof.method NULL (default) or a character, see getsFun. If NULL and gof.function is also
NULL, then the best goodness-of-fit is characterised by a minimum value
keep the regressors to be excluded from removal in the specification search. Note
that keep=c(1) is obligatory when using getsv. This excludes the log-variance
intercept from removal. The regressor numbering is contained in the reg.no
column of the GUM
include.gum logical. If TRUE, then the GUM (i.e. the starting model) is included among the
terminal models. If FALSE (default), then the GUM is not included
include.1cut logical. If TRUE, then the 1-cut model is added to the list of terminal models. If
FALSE (default), then the 1-cut is not added, unless it is a terminal model in one
of the paths
include.empty logical. If TRUE, then an empty model is included among the terminal models,
if it passes the diagnostic tests, even if it is not equal to one of the terminals.
If FALSE (default), then the empty model is not included (unless it is one of the
terminals)
getsm 51

max.paths NULL (default) or an integer greater than 0. If NULL, then there is no limit to the
number of paths. If an integer (e.g. 1), then this integer constitutes the maximum
number of paths searched (e.g. a single path)
tol numeric value. The tolerance for detecting linear dependencies in the columns
of the variance-covariance matrix when computing the Wald-statistic used in the
Parsimonious Encompassing Tests (PETs), see the qr.solve function
turbo logical. If TRUE, then (parts of) paths are not searched twice (or more) unneces-
sarily, thus yielding a significant potential for speed-gain. However, the check-
ing of whether the search has arrived at a point it has already been comes with
a slight computational overhead. Accordingly, if turbo=TRUE, then the total
search time might in fact be higher than if turbo=FALSE. This happens if es-
timation is very fast, say, less than quarter of a second. Hence the default is
FALSE
print.searchinfo
logical. If TRUE (default), then a print is returned whenever simiplification along
a new path is started
plot NULL or logical. If TRUE, then the fitted values and the residuals of the final
model are plotted after model selection. If FALSE, then they are not. If NULL
(default), then the value set by options determines whether a plot is produced
or not
alarm logical. If TRUE, then a sound or beep is emitted (in order to alert the user) when
the model selection ends

Details
For an overview, see Pretis, Reade and Sucarrat (2018): doi: 10.18637/jss.v086.i03.

The arguments user.diagnostics and gof.function enable the specification of user-defined

diagnostics and a user-defined goodness-of-fit function. For the former, see the documentation
of diagnostics. For the latter, the principles of the same arguments in getsFun are followed,
see its documentation under "Details", and Sucarrat (2020): https://journal.r-project.org/
archive/2021/RJ-2021-024/.

Value
A list of class ’gets’

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

References
C. Jarque and A. Bera (1980): ’Efficient Tests for Normality, Homoscedasticity and Serial Indepen-
dence’. Economics Letters 6, pp. 255-259. doi: 10.1016/01651765(80)900245
G. Ljung and G. Box (1979): ’On a Measure of Lack of Fit in Time Series Models’. Biometrika 66,
pp. 265-270
52 getsm

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 Sta-
tistical Software 86, Number 3, pp. 1-44. doi: 10.18637/jss.v086.i03
Genaro Sucarrat (2020): ’User-Specified General-to-Specific and Indicator Saturation Methods’.
The R Journal 12:2, pages 388-401. https://journal.r-project.org/archive/2021/RJ-2021-024/

See Also
Extraction functions: coef.gets, fitted.gets, paths, plot.gets, print.gets,
residuals.gets, summary.gets, terminals, vcov.gets

Related functions: arx, eqwma, leqwma, zoo, getsFun, qr.solve

Examples
##Simulate from an AR(1):
set.seed(123)
y <- arima.sim(list(ar=0.4), 80)

##Simulate four independent Gaussian regressors:

xregs <- matrix(rnorm(2*80), 80, 2)

##estimate an AR(2) with intercept and four conditioning

##regressors in the mean, and a log-ARCH(3) with log(xregs^2) as
##regressors in the log-variance:
gum01 <- arx(y, mc=TRUE, ar=1:2, mxreg=xregs, arch=1:3,
vxreg=log(xregs^2))

##GETS model selection of the mean:

meanmod01 <- getsm(gum01)

##GETS model selection of the log-variance:

varmod01 <- getsv(gum01)

##GETS model selection of the mean with the mean intercept

##excluded from removal:
meanmod02 <- getsm(gum01, keep=1)

##GETS model selection of the mean with non-default

#serial-correlation diagnostics settings:
meanmod03 <- getsm(gum01, ar.LjungB=list(pval=0.05))

##GETS model selection of the mean with very liberal

##(20 percent) significance levels:
meanmod04 <- getsm(gum01, t.pval=0.2)

##GETS model selection of log-variance with all the

##log-ARCH terms excluded from removal:
varmod03 <- getsv(gum01, keep=2:4)
gmm 53

gmm Generalised Method of Moment (GMM) estimation of linear models

Description
Generalised Method of Moment (GMM) estimation of linear models with either ordinary (ho-
moscedastic error) or robust (heteroscedastic error) coefficient-covariance, see Hayashi (2000) chap-
ter 3.

Usage
gmm(y, x, z, tol = .Machine$double.eps,
weighting.matrix = c("efficient", "2sls", "identity"),
vcov.type = c("ordinary", "robust"))

Arguments
y numeric vector, the regressand
x numeric matrix, the regressors
z numeric matrix, the instruments
tol numeric value. The tolerance for detecting linear dependencies in the columns
of the matrices that are inverted, see the solve function
weighting.matrix
a character that determines the weighting matrix to bee used, see "details"
vcov.type a character that determines the expression for the coefficient-covariance, see
"details"

Details
weighting.matrix = "identity" corresponds to the Instrumental Variables (IV) estimator, weighting.matrix
= "2sls" corresponds to the 2 Stage Least Squares (2SLS) estimator, whereas weighting.matrix
= "efficient" corresponds to the efficient GMM estimator, see chapter 3 in Hayashi(2000).
vcov.type = "ordinary" returns the ordinary expression for the coefficient-covariance, which is
valid under conditionally homoscedastic errors. vcov.type = "robust" returns an expression that
is also valid under conditional heteroscedasticity, see chapter 3 in Hayashi (2000).

Value
A list with, amongst other, the following items:

n number of observations
k number of regressors
df degrees of freedom, i.e. n-k
coefficients a vector with the coefficient estimates
fit a vector with the fitted values
54 gmm

residuals a vector with the residuals

residuals2 a vector with the squared residuals
rss the residual sum of squares
sigma2 the regression variance
vcov the coefficient-covariance matrix
logl the normal log-likelihood

Author(s)

Genaro Sucarrat, http://www.sucarrat.net/

References

F. Hayashi (2000): ’Econometrics’. Princeton: Princeton University Press

See Also

solve, ols

Examples

##generate data where regressor is correlated with error:

set.seed(123) #for reproducibility
n <- 100
z1 <- rnorm(n) #instrument
eps <- rnorm(n) #ensures cor(z,eps)=0
x1 <- 0.5*z1 + 0.5*eps #ensures cor(x,eps) is strong
y <- 0.4 + 0.8*x1 + eps #the dgp
cor(x1, eps) #check correlatedness of regressor
cor(z1, eps) #check uncorrelatedness of instrument

x <- cbind(1,x1) #regressor matrix

z <- cbind(1,z1) #matrix with instruments

##efficient gmm estimation:

mymod <- gmm(y, x, z)
mymod$coefficients

##ols (for comparison):

mymod <- ols(y,x)
mymod$coefficients
hpdata 55

hpdata Hoover and Perez (1999) data

Description
Data used by Hoover and Perez (1999) in their evaluation of General-to-Specific (GETS) modelling.
A detailed description of the data is found in their Table 1 (page 172). The data are quarterly,
comprise 20 variables (the first variable is the quarterly index) and runs from 1959:1 to 1995:1.
This corresponds to 145 observations. The original source of the data is Citibank.

Usage
data(hpdata)

Format
Date a factor that contains the (quarterly) dates of the observations
DCOINC index of four coincident indicators
GD GNP price deflator
GGEQ government purchases of goods and services
GGFEQ federal purchases of goods and services
GGFR federal government receipts
GNPQ GNP
GYDQ disposable personal income
GPIQ gross private domestic investment
FMRRA total member bank reserves
FMBASE monetary base (feredal reserve bank of St. Louis)
FM1DQ M1
FM2DQ M2
FSDJ Dow Jones stock price
FYAAAC Moody’s AAA corporate bond yield
LHC labour force (16 years+, civilian)
LHUR unemployment rate
MU unfilled orders (manufacturing, all industries)
MO new orders (manufacturing, all industries)
GCQ personal consumption expenditure

Details
The data have been used for comparison and illustration of GETS model selection in several stud-
ies of the GETS methodology, including Hendry and Krolzig (1999, 2005), Doornik (2009) and
Sucarrat and Escribano (2012).
56 iim

Source
Retrieved 14 October 2014 from: https://www.csus.edu/indiv/p/perezs/data/data.htm

References
David F. Hendry and Hans-Martin Krolzig (1999): ’Improving on ’Data mining reconsidered’ by
K.D. Hoover and S.J Perez’, Econometrics Journal, Vol. 2, pp. 202-219.
David F. Hendry and Hans-Martin Krolzig (2005): ’The properties of automatic Gets modelling’,
Economic Journal 115, C32-C61.
Jurgen Doornik (2009): ’Autometrics’, in Jennifer L. Castle and Neil Shephard (eds), ’The Method-
ology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry’, Oxford Univer-
sity Press, Oxford, pp. 88-121.
Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): ’Automated General-to-Specific (GETS)
Regression Modeling and Indicator Saturation for Outliers and Structural Breaks’. Journal of Sta-
tistical Software 86, Number 3, pp. 1-44.

Examples
##load Hoover and Perez (1999) data:
data(hpdata)

##make quarterly data-matrix of zoo type:

newhpdata <- zooreg(hpdata[,-1], start=c(1959,1), frequency=4)

##plot data:
plot(newhpdata)

##transform data to log-differences in percent:

dloghpdata <- diff(log(newhpdata))*100

##plot log-differenced data:

plot(dloghpdata)

iim Make Indicator Matrices (Impulses, Steps, Trends)

Description
Auxiliary functions to make, respectively, matrices of impulse indicators (iim), step indicators (sim)
and trend indicators (tim)

Usage
##make matrix of impulse indicators:
iim(x, which.ones = NULL)

##make matrix of step indicators:

iim 57

sim(x, which.ones = NULL)

##make matrix of trend indicators:

tim(x, which.ones = NULL, log.trend = FALSE)

Arguments
x either an integer (the length of the series in question) or a series (a vector or
matrix) from which to use the time-series index to make indicators of
which.ones the locations of the impulses. If NULL (the default), then all impulses are re-
turned
log.trend logical. If TRUE, then the natural log is applied on the trends

Details
If x is a series or vector of observations, then the index of x will be used for the labelling of the
impulses, and in the returned zoo object.
Note: For sim and tim the first indicator is removed, since it is exactly colinear with the others.

Value
A zoo matrix containing the impulses

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

See Also
isat, zoo

Examples
##generate series:
y <- rnorm(40)

##make matrix of impulse indicators:

mIIM <- iim(40)

##make matrix of step-indicators, but only every third:

mSIM <- sim(y, which.ones=seq(1,40,3))

##give quarterly time-series attributes to y-series:

y <- zooreg(y, frequency=4, end=c(2015,4))

##make matrix of trend-indicators with quarterly labels:

mTIM <- tim(y)
58 infldata

infldata Quarterly Norwegian year-on-year CPI inflation

Description

Quarterly Norwegian year-on-year CPI inflation from 1989(1) to 2015(4).

Usage

data("infldata")

Format

A data frame with 108 observations on the following 5 variables:

date a factor containing the dates

infl year-on-year inflation
q2dum a dummy variable equal to 1 in quarter 2 and 0 otherwise
q3dum a dummy variable equal to 1 in quarter 3 and 0 otherwise
q4dum a dummy variable equal to 1 in quarter 4 and 0 otherwise

Source

Statistics Norway (SSB): http://www.ssb.no/. The raw data comprise monthly CPI data obtained
via https://www.ssb.no/statbank/table/08183.

References

Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): ’Automated General-to-Specific (GETS)
Regression Modeling and Indicator Saturation for Outliers and Structural Breaks’. Journal of Sta-
tistical Software 86, Number 3, pp. 1-44

Examples

data(infldata)
infldata <- zooreg(infldata[,-1], frequency=4, start=c(1989,1))
plot(infldata[,"infl"])
infocrit 59

infocrit Computes the Average Value of an Information Criterion

Description
Given a log-likelihood, the number of observations and the number of estimated parameters, the
average value of a chosen information criterion is computed. This facilitates comparison of models
that are estimated with a different number of observations, e.g. due to different lags.

Usage
infocrit(x, method=c("sc","aic","aicc","hq"))

info.criterion(logl, n=NULL, k=NULL, method=c("sc","aic","aicc","hq"))

Arguments
x a list that contains, at least, three items: logl (a numeric, the log-likelihood),
k (a numeric, usually the number of estimated parameters) and n (a numeric, the
number of observations)
method character, either "sc" (default), "aic", "aicc" or "hq"
logl numeric, the value of the log-likelihood
n integer, number of observations
k integer, number of parameters

Details
Contrary to AIC and BIC, info.criterion computes the average criterion value (i.e. division by the
number of observations). This facilitates comparison of models that are estimated with a different
number of observations, e.g. due to different lags.

Value
infocrit: a numeric (i.e. the value of the chosen information criterion)
info.criterion: a list with elements

method type of information criterion

n number of observations
k number of parameters
value the value on the information criterion

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/
60 isat

References
H. Akaike (1974): ’A new look at the statistical model identification’. IEEE Transactions on Auto-
matic Control 19, pp. 716-723
E. Hannan and B. Quinn (1979): ’The determination of the order of an autoregression’. Journal of
the Royal Statistical Society B 41, pp. 190-195
C.M. Hurvich and C.-L. Tsai (1989): ’Regression and Time Series Model Selection in Small Sam-
ples’. Biometrika 76, pp. 297-307
Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): ’Automated General-to-Specific (GETS)
Regression Modeling and Indicator Saturation for Outliers and Structural Breaks’. Journal of Sta-
tistical Software 86, Number 3, pp. 1-44
G. Schwarz (1978): ’Estimating the dimension of a model’. The Annals of Statistics 6, pp. 461-464

isat Indicator Saturation

Description
The isat function undertakes multi-path indicator saturation to detect outliers and mean-shifts us-
ing impulses (IIS), step-shifts (SIS), or trend-indicators (TIS). Indicators are partitioned into blocks
and selected over at a chosen level of significance (t.pval) using the getsm function.

Usage
isat(y, ...)

##default S3 method:
## Default S3 method:
isat(y, mc=TRUE, ar=NULL, ewma=NULL, mxreg=NULL, iis=FALSE, sis=TRUE,
tis=FALSE, uis=FALSE, blocks=NULL, ratio.threshold=0.8, max.block.size=30,
t.pval=0.001, wald.pval=t.pval,
vcov.type= c("ordinary","white","newey-west"), do.pet=FALSE, ar.LjungB=NULL,
arch.LjungB=NULL, normality.JarqueB=NULL, info.method=c("sc","aic","hq"),
user.diagnostics=NULL, user.estimator=NULL, gof.function=NULL,
gof.method = c("min", "max"), include.gum=NULL, include.1cut=FALSE,
include.empty=FALSE, max.paths=NULL, parallel.options=NULL, turbo=FALSE,
tol=1e-07, LAPACK=FALSE, max.regs=NULL, print.searchinfo=TRUE, plot=NULL,
alarm=FALSE, ...)

##S3 method for objects of class 'lm':

## S3 method for class 'lm'
isat(y, ar=NULL, ewma=NULL, iis=FALSE, sis=TRUE,
tis=FALSE, uis=FALSE, blocks=NULL, ratio.threshold=0.8, max.block.size=30,
t.pval=0.001, wald.pval=t.pval,
vcov.type= c("ordinary","white","newey-west"), do.pet=FALSE, ar.LjungB=NULL,
arch.LjungB=NULL, normality.JarqueB=NULL, info.method=c("sc","aic","hq"),
isat 61

user.diagnostics=NULL, user.estimator=NULL, gof.function=NULL,

gof.method = c("min", "max"), include.gum=NULL, include.1cut=FALSE,
include.empty=FALSE, max.paths=NULL, parallel.options=NULL, turbo=FALSE,
tol=1e-07, LAPACK=FALSE, max.regs=NULL, print.searchinfo=TRUE, plot=NULL,
alarm=FALSE, ...)

##S3 method for objects of class 'arx':

## S3 method for class 'arx'
isat(y, mc=TRUE, ar=NULL, ewma=NULL, iis=FALSE, sis=TRUE,
tis=FALSE, uis=FALSE, blocks=NULL, ratio.threshold=0.8, max.block.size=30,
t.pval=0.001, wald.pval=t.pval,
vcov.type= c("ordinary","white","newey-west"), do.pet=FALSE, ar.LjungB=NULL,
arch.LjungB=NULL, normality.JarqueB=NULL, info.method=c("sc","aic","hq"),
user.diagnostics=NULL, user.estimator=NULL, gof.function=NULL,
gof.method = c("min", "max"), include.gum=NULL, include.1cut=FALSE,
include.empty=FALSE, max.paths=NULL, parallel.options=NULL, turbo=FALSE,
tol=1e-07, LAPACK=FALSE, max.regs=NULL, print.searchinfo=TRUE, plot=NULL,
alarm=FALSE, ...)

Arguments
y numeric vector, time-series, zoo, or object of class lm or arx. Missing values in
the beginning and at the end of the series is allowed, as they are removed with
the na.trim command
mc logical. TRUE (default) includes an intercept in the mean specification, whereas
FALSE does not
ar integer vector, say, c(2,4) or 1:4. The AR-lags to include in the mean specifica-
tion
ewma either NULL (default) or a list with arguments sent to the eqwma function. In the
latter case a lagged moving average of y is included as a regressor
mxreg numeric vector or matrix, say, a zoo object, of conditioning variables. Note that
missing values in the beginning or at the end of the series is allowed, as they are
removed with the na.trim command. Note also that, if both y and mxreg are
zoo objects, then their samples are chosen to match
iis logical. If TRUE, impulse indicator saturation is performed.
sis logical. If TRUE, step indicator saturation is performed.
tis logical. If TRUE, trend indicator saturation is performed.
uis a matrix of regressors, or a list of matrices.
blocks NULL (default), an integer (the number of blocks) or a user-specified list that
indicates how blocks should be put together. If NULL, then the number of blocks
is determined automatically
ratio.threshold
Minimum ratio of variables in each block to total observations to determine the
block size, default=0.8. Only relevant if blocks = NULL
62 isat

max.block.size Maximum size of block of variables to be selected over, default=30. Block size
used is the maximum of given by either the ratio.threshold and max.block.size
t.pval numeric value between 0 and 1. The significance level used for the two-sided
regressor significance t-tests
wald.pval numeric value between 0 and 1. The significance level used for the Parsimonious
Encompassing Tests (PETs)
vcov.type the type of variance-covariance matrix used. If NULL (default), then the type
used is that of the ’arx’ object. This can be overridden by either "ordinary"
(i.e. the ordinary variance-covariance matrix) or "white" (i.e. the White (1980)
heteroscedasticity robust variance-covariance matrix)
do.pet logical. If TRUE, then a Parsimonious Encompassing Test (PET) against the
GUM is undertaken at each regressor removal for the joint significance of all the
deleted regressors along the current path. If FALSE (default), then a PET is not
undertaken at each regressor removal. By default, the numeric value is the same
as that of t.pval
ar.LjungB a two-item list with names lag and pval, or NULL (default). In the former
case lag contains the order of the Ljung and Box (1979) test for serial corre-
lation in the standardised residuals, and pval contains the significance level. If
lag=NULL (default), then the order used is that of the estimated ’arx’ object.
If ar.Ljungb=NULL, then the standardised residuals are not checked for serial
correlation
arch.LjungB a two-item list with names lag and pval, or NULL (default). In the former case,
lag contains the order of the Ljung and Box (1979) test for serial correlation in
the squared standardised residuals, and pval contains the significance level. If
lag=NULL (default), then the order used is that of the estimated ’arx’ object. If
arch.Ljungb=NULL, then the standardised residuals are not checked for ARCH
normality.JarqueB
NULL (the default) or a value between 0 and 1. In the latter case, a test for non-
normality is conducted using a significance level equal to normality.JarqueB.
If NULL, then no test for non-normality is conducted
info.method character string, "sc" (default), "aic" or "hq", which determines the information
criterion to be used when selecting among terminal models. The abbreviations
are short for the Schwarz or Bayesian information criterion (sc), the Akaike
information criterion (aic) and the Hannan-Quinn (hq) information criterion
user.diagnostics
NULL or a list with two entries, name and pval, see the user.fun argument in
diagnostics
user.estimator NULL or a list with at least one entry, name, see the user.estimator argument
in getsFun
gof.function NULL or a list with at least one entry, name, see the user.estimator argument
in getsFun
gof.method NULL or a character that determines whether the best Goodness-of-Fit is a min-
imum or maximum
include.gum ignored (temporarily deprecated)
isat 63

include.1cut logical. If TRUE, then the 1-cut model is included among the terminal models,
if it passes the diagnostic tests, even if it is not equal to one of the terminals.
If FALSE (default), then the 1-cut model is not included (unless it is one of the
terminals)
include.empty logical. If TRUE, then an empty model is included among the terminal models,
if it passes the diagnostic tests, even if it is not equal to one of the terminals. If
FALSE (default), then the empty model is not included (unless it is one of the
terminals)
max.paths NULL (default) or an integer indicating the maximum number of paths to search
parallel.options
NULL or an integer, i.e. the number of cores/threads to be used for parallel com-
puting (implemented w/makeCluster and parLapply)
turbo logical. If TRUE, then (parts of) paths are not searched twice (or more) unneces-
sarily, thus yielding a significant potential for speed-gain. However, the check-
ing of whether the search has arrived at a point it has already been comes with
a slight computational overhead. Accordingly, if turbo=TRUE, then the total
search time might in fact be higher than if turbo=FALSE. This happens if es-
timation is very fast, say, less than quarter of a second. Hence the default is
FALSE
tol numeric value (default = 1e-07). The tolerance for detecting linear dependencies
in the columns of the regressors (see qr function). Only used if LAPACK is
FALSE (default)
LAPACK logical. If TRUE, then use LAPACK. If FALSE (default), then use LINPACK (see
qr function)
max.regs integer. The maximum number of regressions along a deletion path. It is not
recommended that this is altered
print.searchinfo
logical. If TRUE (default), then a print is returned whenever simiplification along
a new path is started, and whenever regressors are dropped due to exact multi-
colinearity
plot NULL or logical. If TRUE, then the fitted values and the residuals of the final
model are plotted after model selection. If NULL (default), then the value set
by options determines whether a plot is produced or not.
alarm logical. If TRUE, then a sound is emitted (in order to alert the user) when the
model selection ends
... further arguments passed to or from other methods

Details
Multi-path indicator saturation using impulses (IIS), step-shifts (SIS), or trend-indicators (TIS).
Indicators are partitioned into sequential blocks (as of beta version 0.7) where the block intervals
are defined by the ratio of variables to observations in each block and a specified maximum block
size. Indicators are selected over using the getsm function. Retained indicators in each block
are combined and re-selected over. Fixed covariates that are not selected over can be included
in the regression model either in the mxreg matrix, or for auto-regressive terms through the ar
specification. See Hendry, Johansen and Santos (2007) and Castle, Doornik, Hendry, and Pretis
(2015)
64 isat

Value
A list of class ’isat’

Author(s)
Jonas Kurle, https://www.jonaskurle.com/
Felix Pretis, http://www.felixpretis.org/
James Reade, https://sites.google.com/site/jjamesreade/
Moritz Schwarz, https://www.inet.ox.ac.uk/people/moritz-schwarz/
Genaro Sucarrat http://www.sucarrat.net/

References
Castle, Jennifer, L., Doornik, Jurgen, A., Hendry, David F., and Pretis, Felix (2015): ’Detecting
Location Shifts during Model Selection by Step-Indicator Saturation’, Econometrics, vol 3:2, 240-
264.
Hendry, David, F., Johansen, Soren, and Santos, Carlos (2007): ’Automatic selection of indicators
in a fully saturated regression’. Computational Statistics, vol 23:1, pp.317-335.
Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): ’Automated General-to-Specific (GETS)
Regression Modeling and Indicator Saturation for Outliers and Structural Breaks’. Journal of Sta-
tistical Software 86, Number 3, pp. 1-44

See Also
Extraction functions for ’isat’ objects: coef.isat, fitted.isat, paths, plot.isat, print.isat,
residuals.isat, summary.isat, terminals, vcov.isat

Related functions: arx, eqwma, leqwma, zoo, getsFun

Examples
##SIS using the Nile data
data(Nile)
isat(Nile, sis=TRUE, iis=FALSE, plot=TRUE, t.pval=0.005)

##SIS using the Nile data in an autoregressive model

#isat(Nile, ar=1:2, sis=TRUE, iis=FALSE, plot=TRUE, t.pval=0.005)

##HP Data
##load Hoover and Perez (1999) data:
#data(hpdata)

##make quarterly data-matrix of zoo type

##(GCQ = personal consumption expenditure):
#y <- zooreg(hpdata$GCQ, 1959, frequency=4)

##transform data to log-differences:

isatdates 65

#dlogy <- diff(log(y))

##run isat with step impulse saturation on four

##lags and a constant 1 percent significance level:
#isat(dlogy, ar=1:4, sis=TRUE, t.pval =0.01)

##Example with additional covariates entering through mxreg:

##(GYDQ = disposable personal income):

#x <- zooreg(hpdata$GYDQ, 1959, frequency=4)

##transform data to log-differences:

#dlogx <- diff(log(x))

##run isat with step impulse saturation on four

##lags and a constant 1 percent significance level:
#isat(dlogy, mxreg=dlogx, ar=1:4, sis=TRUE, t.pval =0.01)

isatdates Extracting Indicator Saturation Breakdates

Description
Takes an isat object and extracts the break dates together with their estimated coefficients.

Usage
isatdates(x)

Arguments
x an isat object

Details
The function extracts the breakdates determined by isat for iis, sis, and tis, together with their
estimated coefficients and standard errors.

Value
Returns a list of three elements (one for iis, sis, and tis). Each element lists the name of the break
variable, the time index of the break (labelled ’date’), the index of the break date, the estimated
coefficient, the standard error of the estimated coefficient, as well as the corresponding t-statistic
and p-value.

Author(s)
Felix Pretis, http://www.felixpretis.org/
66 isatloop

References
Pretis, F., Reade, J., & Sucarrat, G. (2018). Automated General-to-Specific (GETS) regression mod-
eling and indicator saturation methods for the detection of outliers and structural breaks. Journal of
Statistical Software, 86(3).

See Also
isat

Examples
###Break date extraction of the Nile data
nile <- as.zoo(Nile)
isat.nile <- isat(nile, sis=TRUE, iis=FALSE, plot=TRUE, t.pval=0.005)
isatdates(isat.nile)

isatloop Repeated Impulse Indicator Saturation

Description
Runs isat repeatedly at pre-specified significance levels to yield multiple iterations used in
outlierscaletest.

Usage
isatloop(num=c(seq(from=20, to=1, by=-1)), t.pval.spec = FALSE,
print=FALSE, y, ar=NULL, iis=TRUE, sis=FALSE, ...)

Arguments
num numeric, target expected number of outliers under the null hypothesis, or target
proportion of outliers if t.pval.spec==TRUE
t.pval.spec logical, if TRUE, then num specifies proportion rather than number of targeted
outliers
print logical, if TRUE, then iterations are printed
y numeric vector, time-series or zoo object. Missing values in the beginning and at
the end of the series is allowed, as they are removed with the na.trim command
ar integer vector, say, c(2,4) or 1:4. The AR-lags to include in the mean specifica-
tion
iis logical, whether to use iis
sis logical, whether to use sis, default is FALSE
... any argument from isat can also be used in isatloop
isattest 67

Details
The function repeatedly runs isat detecting outliers in a model of y at different chosen target
levels of significance speciefied in num. The output of this function is used as the input for the
outlierscaletest function. All additional arguments from isat can be passed to isatloop.

Value
Returns a list of two items. The first item is the number of observations. The second item is
a dataframe containing the expected and observed proportion (and number of outliers) for each
specified significance level of selection.

Author(s)
Felix Pretis, http://www.felixpretis.org/

References
Jiao, X. & Pretis, F. (2019). Testing the Presence of Outliers in Regression Models. Discussion
Paper.
Pretis, F., Reade, J., & Sucarrat, G. (2018). Automated General-to-Specific (GETS) regression mod-
eling and indicator saturation methods for the detection of outliers and structural breaks. Journal of
Statistical Software, 86(3).

See Also
isat, outlierscaletest

Examples
###Repeated isat models using the Nile dataset
### where p-values are chosen such that the expected number of outliers under the null
### corresponds to 1, 2, 3, 4 and 5.
nile <- as.zoo(Nile)
isat.nile.loop <- isatloop(y=nile, iis=TRUE, num=c(1,2, 3, 4, 5))

isattest Indicator Saturation Test

Description
Takes an ’isat’ object returned by the isat function as input and returns the results of a hypothesis
test on the time-varying intercept or long-run equilibrium against a specified null-hypothesis for a
chosen level of significance - see Pretis (2015).
68 isattest

Usage

isattest(x, hnull=0, lr=FALSE, ci.pval=0.99, plot=NULL, plot.turn=FALSE,

conscorr=FALSE, effcorr=FALSE, mcor = 1, biascorr=FALSE, mxfull = NULL,
mxbreak=NULL)

Arguments

x a ’gets’ object obtained with the isat function

hnull numeric. the null-hypothesis value to be tested against.
lr logical. If TRUE and ’x’ contains autoregressive elements, then isattest tests
on the long-run equilibrium path. See Pretis (2015).
ci.pval numeric between 0 and 1. Default is 0.99, the level of significance for the con-
fidence interval of the test against ’hnull’.
plot logical. If TRUE, then a plot showing the coefficient path and bias relative to
’hnull’ is shown.
plot.turn logical. If TRUE, then the plot output adds the time of the breaks to the plot
showing the bias relative to ’hnull’.
biascorr logical. If TRUE, then the coefficient path is bias-corrected using biascorr.
This is only valid for the non-dynamic test without additional covariates.
conscorr logical. If TRUE then the Johansen and Nielsen (2016) impulse-indicator con-
sistency correction is applied to estimated residual variance.
effcorr logical. If TRUE then the Johansen and Nielsen (2016) m-step efficiency cor-
rection is applied to estimated standard errors of ‘fixed’ regressors.
mcor integer. The m-step efficiency correction factor, where m=mcor.
mxfull string. The name of the full-sample variable when constructing the coefficient
path of user-specified break variables.
mxbreak string. The name of the break variables used to construct the coefficient path of
user-specified break variables.

Details

The function tests the coefficient path (or long-run equilibrium path) against a specified null hypoth-
esis at a chosen level of significance. If conducted on an isat model of a forecast error or relative
forecast differential, then this corresponds to the test of time-varying predictive accuracy of Pretis
(2015). The resulting output plot shows the coefficient path in the top panel (where ’hnull’ is plotted
as dotted lines), with the bias (significant difference relative to ’hnull’) in the lower panel. If mxfull
and mxbreak are specified, then the function tests on the coefficient path of the user-specified vari-
able, where mxfull denotes the ful-sample variable name, to which the mxbreak variables are
added. To correct for the under-estimation of the residual variance, the argument conscorr im-
plements the Johansen and Nielsen (2016) consistency correction, and effcorr adds the efficiency
correction for standard errors on fixed regressors which are not selected over.
isattest 69

Value

A Tx4 matrix (with T = number of observations) where the first two columns denote the confi-
dence interval of the coefficient path (or the long-run equilibrium path if ’lr=TRUE’). The third and
fourth column denote the bias of the coefficient path relative to the chosen null-hypothesis, where
’bias.high’ denotes the bias when the series tested is above the hypothesized value, and ’bias.low’
denotes the bias when the series tested is significantly below the hypothesized value.

Author(s)

Felix Pretis, http://www.felixpretis.org/

References

Johansen, S., & Nielsen, B. (2016): ’Asymptotic theory of outlier detection algorithms for linear
time series regression models.’ Scandinavian Journal of Statistics, 43(2), 321-348.
Pretis, F. (2015): ’Testing for time-varying predictive accuracy using bias-corrected indicator satu-
ration’. Oxford Department of Economics Discussion Paper.
Hendry, David, F., Johansen, Soren, and Santos, Carlos (2007): ’Automatic selection of indicators
in a fully saturated regression’. Computational Statistics, vol 23:1, pp.317-335.

See Also

isat, coef.gets, plot.gets, biascorr, isatvar

Examples
##Using artificial data:
#set.seed(123)
#d <- matrix(0,100,1)
#d[35:55] <- 1
#e <- rnorm(100, 0, 1)
#y <- d*2 +e
#plot(y, type="l")

##Static Test against hnull=0 using bias-correction:

#ys <- isat(y, sis=TRUE, iis=FALSE, tis=FALSE, t.pval=0.01)

#isattest(ys, hnull=0, lr=FALSE, ci.pval = 0.99, plot.turn = FALSE, biascorr=TRUE)

##Dynamic Test of the long-run equilibrium against hnull=2 with breakpoints

##labelled in the plot:

#ys <- isat(y, sis=TRUE, iis=FALSE, tis=FALSE, t.pval=0.01, ar=1:2)

#isattest(ys, hnull=2, lr=TRUE, ci.pval = 0.99, plot.turn = TRUE, biascorr=FALSE)
70 isatvar

isatvar Variance of the coefficient path

Description
Takes an ’isat’ object returned by the isat function as input and returns the coefficient path of the
constant (and long-run equilibrium if ’lr’ is specified) together with its approximate variance and
standard errors. If mxfull and mxbreak are specified, then the function returns the coefficient path
of the user-specified variable.

Usage
isatvar(x, lr=FALSE, conscorr=FALSE, effcorr=FALSE, mcor = 1,
mxfull = NULL, mxbreak=NULL)

Arguments
x a ’gets’ object obtained with the isat function
lr logical. If TRUE and ’x’ contains autoregressive elements, then isatvar also
returns the long-run equilibrium coefficient path with its variance and standard
deviation. See Pretis (2015).
conscorr logical. If TRUE then the Johansen and Nielsen (2016) impulse-indicator con-
sistency correction is applied to estimated residual variance.
effcorr logical. If TRUE then the Johansen and Nielsen (2016) m-step efficiency cor-
rection is applied to estimated standard errors of ‘fixed’ regressors.
mcor integer. The m-step efficiency correction factor, where m=mcor.
mxfull string. The name of the full-sample variable when constructing the coefficient
path of user-specified break variables.
mxbreak string. The name of the break variables used to construct the coefficient path of
user-specified break variables.

Details
The function computes the approximate variance and standard errors of the intercept term with
structural breaks determined by isat. This permits hypothesis testing and plotting of approximate
confidence intervals for the intercept in the presence of structural breaks. For dynamic autoregres-
sive models in isat the lr argument returns the time-varying long-run equilibrium together with
its approximate variance and standard errors. If mxfull and mxbreak are specified, then the func-
tion returns the coefficient path of the user-specified variable, where mxfull denotes the ful-sample
variable name, to which the mxbreak variables are added. To correct for the under-estimation of the
residual variance, the argument conscorr implements the Johansen and Nielsen (2016) consistency
correction, and effcorr adds the efficiency correction for standard errors on fixed regressors which
are not selected over.
isatvar 71

Value
If lr=FALSE: A Tx4 matrix (with T = number of observations) where the first column denotes
the coefficient path relative to the full sample coefficient, the second column the coefficient path
of the intercept, the third the approximate variance of the coefficient path, and the fourth column
the approximate standard errors of the coefficient path. If lr=TRUE: A Tx7 matrix where the first
four columns are identical to the lr=FALSE case, and the additional columns denote the long-run
equilibrium coefficient path, together with the approximate variance and standard errors of the long-
run equilibrium coefficient path.

Author(s)
Felix Pretis, http://www.felixpretis.org/
James Reade, https://sites.google.com/site/jjamesreade/

References
Pretis, F. (2015): ’Testing for time-varying predictive accuracy using bias-corrected indicator satu-
ration’. Oxford Department of Economics ???orking Paper.
Johansen, S., & Nielsen, B. (2016): ’Asymptotic theory of outlier detection algorithms for linear
time series regression models.’ Scandinavian Journal of Statistics, 43(2), 321-348.
Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): ’Automated General-to-Specific (GETS)
Regression Modeling and Indicator Saturation for Outliers and Structural Breaks’. Journal of Sta-
tistical Software 86, Number 3, pp. 1-44

See Also
isat, coef.gets, plot.gets, biascorr, isattest

Examples
##Variance in presence of a break
#nile <- as.zoo(Nile)
#isat.nile <- isat(nile, sis=TRUE, iis=FALSE, plot=FALSE, t.pval=0.005)
#var <- isatvar(isat.nile)

#plot(nile)
#lines(isat.nile$mean.fit, col="red")
#lines(isat.nile$mean.fit + 2*var$const.se, col="blue", lty=3)
#lines(isat.nile$mean.fit - 2*var$const.se, col="blue", lty=3)

##Variance when there is no break

#set.seed(1)
#x <- as.zoo(rnorm(100, 0, 1))
#isat.x <- isat(x, sis=TRUE, iis=FALSE, plot=TRUE, t.pval=0.005)
#var.x <- isatvar(isat.x)

#plot(x)
#lines(isat.x$mean.fit, col="red")
#lines(isat.x$mean.fit + 2*var.x[,2], col="blue", lty=3)
#lines(isat.x$mean.fit - 2*var.x[,2], col="blue", lty=3)
72 isatvarcorrect

##Variance of the long-run equilibrium coefficient path

#nile <- as.zoo(Nile)

#isat.nile <- isat(nile, sis=TRUE, iis=FALSE, plot=TRUE, t.pval=0.005, ar=1:2)
#var <- isatvar(isat.nile, lr=TRUE)

isatvarcorrect Consistency and Efficiency Correction for Impulse Indicator Satura-

tion

Description

Takes an isat object and corrects the estimates of the error variance and the estimated standard
errors of ’forced’ regressors.

Usage

isatvarcorrect(x, mcor=1)

Arguments

x an isat object
mcor integer, number of iterations in the correction. Default = 1.

Details

Impulse indicator saturation results in an under-estimation of the error variance as well as the vari-
ance of regressors not selected over. The magnitude of the inconsistency increases with the p-value
of selection (t.pval). The function takes an isat object and applies the impulse indicator consis-
tency (isvarcor) and efficiency correction (isvareffcor) of the estimated error variance and the
estimated variance of regressors not selected over. See Johansen and Nielsen (2016a) and (2016b).

Value

Returns an isat object in which the estimated standard errors, t-statistics, p-values, standard error
of the regression, and log-likelihood are consistency and efficiency corrected when using impulse
indicator saturation (iis=TRUE).

Author(s)

Felix Pretis, http://www.felixpretis.org/

isvarcor 73

References
Johansen, S., & Nielsen, B. (2016a). Asymptotic theory of outlier detection algorithms for linear
time series regression models. Scandinavian Journal of Statistics, 43(2), 321-348.
Johansen, S., & Nielsen, B. (2016b). Rejoinder: Asymptotic Theory of Outlier Detection Algo-
rithms for Linear. Scandinavian Journal of Statistics, 43(2), 374-381.
Pretis, F., Reade, J., & Sucarrat, G. (2018). Automated General-to-Specific (GETS) regression mod-
eling and indicator saturation methods for the detection of outliers and structural breaks. Journal of
Statistical Software, 86(3).

See Also
isat, isvarcor, isvareffcor

Examples
###Consistency and Efficiency Correction of Impulse Indicator Estimates
nile <- as.zoo(Nile)
isat.nile <- isat(nile, sis=FALSE, iis=TRUE, plot=TRUE, t.pval=0.1)
isat.nile.corrected <- isatvarcorrect(isat.nile)

isat.nile$sigma2
isat.nile.corrected$sigma2

isvarcor IIS Consistency Correction

Description
Consistency correction for estimate of residual variance when using impulse indicator saturation.

Usage
isvarcor(t.pval, sigma)

Arguments
t.pval numeric value. the p-value of selection in the impulse indicator saturation model.
sigma numeric value. The estimated standard deviation of the residuals from the im-
pulse indicator saturation model.

Details
The Johansen and Nielsen (2016) impulse-indicator consistency correction for the estimated resid-
ual standard deviation.
74 isvareffcor

Value
a data frame containing the corrected standard deviation $sigma.cor and the correction factor used
$corxi

Author(s)
Felix Pretis, http://www.felixpretis.org/

References
Johansen, S., & Nielsen, B. (2016): ’Asymptotic theory of outlier detection algorithms for linear
time series regression models.’ Scandinavian Journal of Statistics, 43(2), 321-348.
Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): ’Automated General-to-Specific (GETS)
Regression Modeling and Indicator Saturation for Outliers and Structural Breaks’. Journal of Sta-
tistical Software 86, Number 3, pp. 1-44

See Also
isatvar

Examples

isvarcor(t.pval=0.05, sigma=2)

isvareffcor IIS Efficiency Correction

Description
Efficiency correction for the estimates of coefficient standard errors on fixed regressors.

Usage
isvareffcor(t.pval, se, m=1)

Arguments
t.pval numeric value. the p-value of selection in the impulse indicator saturation model.
se numeric value or vector. The estimated standard errors of the coefficients on
fixed regressors in impulse indicator saturation model.
m integer. The m-step correction factor.

Details
The Johansen and Nielsen (2016) impulse-indicator efficiency correction for the estimated standard
errors on fixed regressors in impulse indicator models.
logit 75

Value
a data frame containing the corrected standard deviation $se.cor and the correction factor used
$eta.m

Author(s)
Felix Pretis, http://www.felixpretis.org/

References
Johansen, S., & Nielsen, B. (2016): ’Asymptotic theory of outlier detection algorithms for linear
time series regression models.’ Scandinavian Journal of Statistics, 43(2), 321-348.
Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): ’Automated General-to-Specific (GETS)
Regression Modeling and Indicator Saturation for Outliers and Structural Breaks’. Journal of Sta-
tistical Software 86, Number 3, pp. 1-44

See Also
isatvar

Examples

isvareffcor(t.pval=0.05, se=2, m=1)

logit Estimation of a logit model

Description
Maximum Likelihood (ML) estimation of a logit model.

Usage
logit(y, x, initial.values = NULL, lower = -Inf, upper = Inf,
method = 2, lag.length = NULL, control = list(), eps.tol = .Machine$double.eps,
solve.tol = .Machine$double.eps )

Arguments
y numeric vector, the binary process
x numeric matrix, the regressors
initial.values NULL or a numeric vector with the initial parameter values passed on to the op-
timisation routine, nlminb. If NULL, the default, then the values are chosen
automatically
76 logit

lower numeric vector, either of length 1 or the number of parameters to be estimated,

see nlminb
upper numeric vector, either of length 1 or the number of parameters to be estimated,
see nlminb
method an integer that determines the expression for the coefficient-covariance, see "de-
tails"
lag.length NULL or an integer that determines the lag-length used in the robust coefficient
covariance. If lag.length is an integer, then it is ignored unless method = 3
control a list passed on to the control argument of nlminb
eps.tol numeric, a small value that ensures the fitted zero-probabilities are not too small
when the log-transformation is applied when computing the log-likelihood
solve.tol numeric value passed on to the tol argument of solve, which is called whenever
the coefficient-coariance matrix is computed. The value controls the toleranse
for detecting linear dependence between columns when inverting a matrix

Details

No details for the moment.

Value

A list.

Author(s)

Genaro Sucarrat, http://www.sucarrat.net/

References

No references for the moment.

See Also

nlminb, solve

Examples

##no examples for the moment

logitx 77

logitx Estimate an autoregressive logit model with covariates

Description
Estimate a dynamic Autoregressive (AR) logit model with covariates (’X’) by maximising the logit
likelihood.

Usage
logitx(y, intercept = TRUE, ar = NULL, ewma = NULL, xreg = NULL,
vcov.type = c("ordinary", "robust"), lag.length = NULL,
initial.values = NULL, lower = -Inf, upper = Inf, control = list(),
eps.tol = .Machine$double.eps, solve.tol = .Machine$double.eps,
singular.ok = TRUE, plot = NULL)

dlogitx(y, ...)

Arguments
y a binary numeric vector, time-series or zoo object. Missing values in the be-
ginning and at the end of the series is allowed, as they are removed with the
na.trim command
intercept logical. TRUE, the default, includes an intercept in the logit specification, whereas
FALSE does not
ar either NULL (default) or an integer vector, say, c(2,4) or 1:4. The AR-lags to
include in the logit specification. If NULL, then no lags are included
ewma either NULL (default) or a list with arguments sent to the eqwma function. In
the latter case a lagged moving average of y is included as a regressor
xreg either NULL (default) or a numeric vector or matrix, say, a zoo object, of covari-
ates. Note that, if both y and xreg are zoo objects, then their samples are chosen
to match
vcov.type character vector of length 1, either "ordinary" (default) or "robust". Partial
matching is allowed. If "ordinary", then the ordinary variance-covariance ma-
trix is used for inference. If "robust", then a robust coefficient-covariance of the
Newey and West (1987) type is used
lag.length NULL or an integer that determines the lag-length used in the robust coefficient
covariance. If lag.length is an integer, then it is ignored unless method = 3
initial.values NULL or a numeric vector with the initial parameter values passed on to the op-
timisation routine, nlminb. If NULL, the default, then the values are chosen
automatically
lower numeric vector, either of length 1 or the number of parameters to be estimated,
see nlminb
upper numeric vector, either of length 1 or the number of parameters to be estimated,
see nlminb
78 logitx

control a list passed on to the control argument of nlminb

eps.tol numeric, a small value that ensures the fitted zero-probabilities are not too small
when the log-transformation is applied when computing the log-likelihood
solve.tol numeric value passed on to the tol argument of solve, which is called whenever
the coefficient-coariance matrix is computed. The value controls the toleranse
for detecting linear dependence between columns when inverting a matrix
singular.ok logical. If TRUE (default), then the regressors causing the singularity are dropped
(using dropvar) before estimation. If FALSE, singularity returns error
plot NULL or logical. If TRUE, then a plot is produced. If NULL (default), then the
value set by options determines whether a plot is produced or not.
... arguments passed on to logitx

Details
The function estimates a dynamic Autoregressive (AR) logit model with (optionally) covariates
(’X’) by maximising the logit likelihood. The estimated model is an augmented version of the model
considered by Kauppi and Saikkonen (2008). Also, they considered estimation is by maximisation
of the probit likelihood. Here, by contrast, estimation is by maximisation of the logit likelihood.

Value
A list of class ’logitx’.

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

References
Heikki Kauppi and Pentti Saikkonen (2008): ’Predicting U.S. Recessions with Dynamic Binary
Response Models’. The Review of Economics and Statistics 90, pp. 777-791
Whitney K. Newey and Kenned D. West (1987): ’A Simple, Positive Semi-Definite, Heteroskedas-
ticity and Autocorrelation Consistent Covariance Matrix’, Econometrica 55, pp. 703-708

See Also
Methods: coef.logitx, fitted.logitx, gets.logitx,
logLik.logitx, plot.logitx, print.logitx, summary.logitx, toLatex.logitx and vcov.logitx

Related functions: logitxSim, logit, nlminb

Examples

##simulate from ar(1):

set.seed(123) #for reproducibility
y <- logitxSim(100, ar=0.3)
logitxSim 79

##estimate ar(1) and store result:

mymod <- logitx(y, ar=1)

##estimate ar(4) and store result:

mymod <- logitx(y, ar=1:4)

##create some more data, estimate new model:

x <- matrix(rnorm(5*100), 100, 5)
mymod <- logitx(y, ar=1:4, xreg=x)

logitxSim Simulate from a dynamic logit-x model

Description
Simulate from a dynamic Autoregressive (AR) logit model with covariates (’X’). This model is
essentially a logit-version of the model of Kauppi and Saikkonen (2008).

Usage
logitxSim(n, intercept = 0, ar = NULL, xreg = NULL, verbose = FALSE,
as.zoo = TRUE)

dlogitxSim(n, ...)

Arguments
n integer, the number of observations to generate
intercept numeric, the value of the intercept in the logit specification
ar NULL or a numeric vector with the autoregressive parameters
xreg NULL or numeric vector with the values of the X-term
verbose logical. If FALSE, then only the binary process (a vector) is returned. If TRUE,
then a matrix with all the simulated information is returned (binary process,
probabilities, etc.)
as.zoo logical. If TRUE, then the returned object - a vector or matrix - will be of class
zoo
... arguments passed on to logitxSim

Details
No details, for the moment.

Value
A vector or matrix, depending on whether verbose is FALSE or TRUE, of class zoo, depending on
whether as.zoo is TRUE or FALSE
80 mvrnormsim

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

References
Heikki Kauppi and Penti Saikkonen (2008): ’Predicting U.S. Recessions with Dynamic Binary
Response Models’. The Review of Economic Statistics 90, pp. 777-791

See Also
logitx

Examples

##simulate from ar(1):

set.seed(123) #for reproducibility
y <- logitxSim(100, ar=0.3)

##more output (value, probability, logit):

set.seed(123) #for reproducibility
y <- logitxSim(100, ar=0.3, verbose=TRUE)

mvrnormsim Simulate from a Multivariate Normal Distribution

Description
Produces one or more samples from the specified multivariate normal distribution. Used in
outlierscaletest.

Usage
mvrnormsim(n = 1, mu, Sigma, tol = 1e-6, empirical = FALSE)

Arguments
n the number of samples required.
mu a vector giving the means of the variables.
Sigma a positive-definite symmetric matrix specifying the covariance matrix of the
variables.
tol tolerance (relative to largest variance) for numerical lack of positive-definiteness
in Sigma.
empirical logical. If true, mu and Sigma specify the empirical not population mean and
covariance matrix.
ols 81

Details

Original function mvrnorm developed by Venables, W. N. & Ripley. in package MASS, https:
//CRAN.R-project.org/package=MASS.

Value

If n = 1 a vector of the same length as mu, otherwise an n by length(mu) matrix with one sample in
each row.

Author(s)

Venables, W. N. & Ripley, with modifications by Felix Pretis, http://www.felixpretis.org/

References

Venables, W. N. & Ripley, B. D. (2019): ’MASS: Support Functions and Datasets for Venables and
Ripley’s MASS’. https://CRAN.R-project.org/package=MASS
Venables, W. N. & Ripley, B. D. (2002) Modern Applied Statistics with S. Fourth Edition. Springer,
New York. ISBN 0-387-95457-0

See Also

outlierscaletest

Examples
Sigma <- matrix(c(3,2,1,7),2,2)
mvrnormsim(n=2, mu=c(1,2), Sigma)

ols OLS estimation

Description

OLS estimation with the QR decomposition and, for some options, computation of variance- co-
variance matrices

Usage

ols(y, x, untransformed.residuals=NULL, tol=1e-07, LAPACK=FALSE, method=3,

variance.spec=NULL, ...)
82 ols

Arguments
y numeric vector, the regressand
x numeric matrix, the regressors
untransformed.residuals
NULL (default) or, when ols is used with method=6, a numeric vector containing
the untransformed residuals
tol numeric value. The tolerance for detecting linear dependencies in the columns
of the regressors, see the qr function. Only used if LAPACK is FALSE
LAPACK logical, TRUE or FALSE (default). If true use LAPACK otherwise use LINPACK,
see the qr function
method an integer, 1 to 6, that determines the estimation method
variance.spec NULL or a list with items that specifies the log-variance model to be estimated,
see arx
... further arguments (currently ignored)

Details
method = 1 or method = 2 only returns the OLS coefficient estimates together with the QR- in-
formation, the former being slightly faster. method=3 returns, in addition, the ordinary variance-
covariance matrix of the OLS estimator. method=4 returns the White (1980) heteroscedasticity
robust variance-covariance matrix in addition to the information returned by method=3, whereas
method=5 does the same except that the variance-covariance matrix now is that of Newey and West
(1987). method=6 undertakes OLS estimation of a log-variance model, see Pretis, Reade and Su-
carrat (2018, Section 4). Alternatively, for method 1 to 5, a log-variance model is also estimated if
variance.spec is not NULL.

Value
A list with items depending on method

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

References
W. Newey and K. West (1987): ’A Simple Positive Semi-Definite, Heteroskedasticity and Autocor-
relation Consistent Covariance Matrix’, Econometrica 55, pp. 703-708.
F. Pretis, J. Reade and G. Sucarrat (2018): ’Automated General-to-Specific (GETS) Regression
Modeling and Indicator Saturation for Outliers and Structural Breaks’, Journal of Statistical Soft-
ware 86, Issue 3, pp. 1-44, DOI: https://doi.org/10.18637/jss.v086.i03
H. White (1980): ’A Heteroskedasticity-Consistent Covariance Matrix and a Direct Test for Het-
eroskedasticity’, Econometrica 48, pp. 817-838.

See Also
qr, solve.qr, arx
outlierscaletest 83

outlierscaletest Sum and Sup Scaling Outlier Tests

Description
Computes the Sum and Supremum Scaling Tests for the overall presence of outliers based on Jiao
and Pretis (2019).

Usage
outlierscaletest(x, nsim = 10000)

Arguments
x list, output of the isatloop function
nsim integer, number of replications to simulate critical values for the Sup test

Details
The function takes the output of the isatloop function and computes the Scaling Sum and Supre-
mum Tests for the presence of outliers from Jiao and Pretis (2019). The test compares the expected
and observed proportion of outliers over the range of different significance levels of selection spec-
ified in isatloop. The Sum test compares the sum of deviations against the standard normal dis-
tribution, the Sup test compares the supremum of deviations against critical values simulated with
nsim replications. The null hypothesis is that the observed proportion of outliers scales with the
proportion of outliers under the null of no outliers.

Value
Returns a list of two htest objects. The first providing the results of the Sum test on the sum of the
deviation of outliers against a standard normal distribution. The second providing the results on the
supremum of the deviation of outliers against simulated critical values.

Author(s)
Xiyu Jiao, & Felix Pretis, http://www.felixpretis.org/

References
Jiao, X. & Pretis, F. (2019). Testing the Presence of Outliers in Regression Models. Discussion
Paper.
Pretis, F., Reade, J., & Sucarrat, G. (2018). Automated General-to-Specific (GETS) regression mod-
eling and indicator saturation methods for the detection of outliers and structural breaks. Journal of
Statistical Software, 86(3).
84 outliertest

See Also

isat, isatloop

Examples
###Repeated isat models using the Nile dataset
### where p-values are chosen such that the expected number of outliers under the null
### corresponds to 1, 2, ..., 20. Then computing the Outlier Scaling Tests:

#nile <- as.zoo(Nile)

#isat.nile.loop <- isatloop(y=nile)
#outlierscaletest(isat.nile.loop)

outliertest Jiao and Pretis Outlier Proportion and Count Tests

Description

Tests whether the proportion (or number) of outliers detected using impulse indicator saturation
is different from the proportion (or number) of outliers expected under the null hypothesis of no
outliers using the Jiao and Pretis (2019) proportion and count outlier tests.

Usage

outliertest(x, noutl=NULL, t.pval=NULL, T=NULL,

m=1, infty=FALSE, alternative="two.sided")

Arguments

x an isat object
noutl integer, number of detected outliers if no isat object is provided i.e. x=NULL
t.pval numeric, between 0 and 1. Selection p-value used in indicator saturation if no
isat object is provided i.e. x=NULL
T integer, sample sized used in indicator saturation if no isat object is provided
i.e. x=NULL
m integer, number of iterations in variance computation, default=1
infty logical, argument used for variance computation
alternative "two-sided", "less", "greater", alternative hypothesis of outlier test.
outliertest 85

Details

The function computes the estimated proportion of outliers (gauge) based on impulse indicator sat-
uration and constructs the proportion and count outlier test statistics from Jiao and Pretis (2019).
The null hypothesis is that the proportion (or count) of outliers is not different than the proportion
(or count) of outliers detected under the null hypothesis of no outliers. The first test compares the
estimated proportion of outliers scaled by its estimated variance against a standard normal distri-
bution. The second test compares the number of outliers against a Poisson distribution. If an isat
object is provided in x, then the function automatically extracts the detected impulses and computes
the estimated outlier proportion. If no isat object is provided and x=NULL, then the tests can be
conducted manually by providing the number of detected outliers (noutl), the sample size (T), and
the chosen level of signficance used to detect outliers (t.pval).

Value

Returns a list of two htest objects. The first providing the results of the test on the proportion of
outliers against a standard normal distribution. The second providing the results on the number of
outliers against the Poisson distribution.

Author(s)

Xiyu Jiao, & Felix Pretis, http://www.felixpretis.org/

References

Jiao, X. & Pretis, F. (2019). Testing the Presence of Outliers in Regression Models. Discussion
Paper.
Pretis, F., Reade, J., & Sucarrat, G. (2018). Automated General-to-Specific (GETS) regression mod-
eling and indicator saturation methods for the detection of outliers and structural breaks. Journal of
Statistical Software, 86(3).

See Also

isat

Examples
###Testing the Presence of Outliers in the Nile Data
nile <- as.zoo(Nile)
isat.nile <- isat(nile, sis=FALSE, iis=TRUE, plot=TRUE, t.pval=0.1)
outliertest(isat.nile)

###Testing the number of outliers when the sample is T=200,

### with 7 detected outliers at t.pval=0.05 if no isat object is provided:
outliertest(x=NULL, noutl=7, t.pval=0.05, T=200)
86 paths

paths Extraction functions for ’arx’, ’gets’ and ’isat’ objects

Description
Extraction functions for objects of class ’arx’, ’gets’ and ’isat’

Usage
paths(object, ...)
terminals(object, ...)
rsquared(object, adjusted=FALSE, ...)

Arguments
object an object of class ’arx’, ’gets’ or ’isat’
adjusted logical. If TRUE the adjusted R-squared is returned
... additional arguments

Details
paths and terminals can only be applied on objects of class ’gets’ and ’isat’

Value
paths: a list with the paths searched (each number refers to a regressor in the GUM)
terminals: a list with the terminal models (each number refers to a regressor in the GUM)
rsquared: a numeric, the R-squared of the regression, or adjusted R-squared if adjusted
is set to TRUE

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

See Also
getsm, getsm, getsv, isat

Examples
##Simulate from an AR(1):
set.seed(123)
y <- arima.sim(list(ar=0.4), 50)

##Simulate four independent Gaussian regressors:

xregs <- matrix(rnorm(4*50), 50, 4)
periodicdummies 87

##estimate an AR(2) with intercept and four conditioning

##regressors in the mean:
mymod <- arx(y, mc=TRUE, ar=1:2, mxreg=xregs)
rsquared(mymod)
rsquared(mymod, adjusted=TRUE)

##General-to-Specific (GETS) modelling of the mean:

meanmod <- getsm(mymod)
rsquared(meanmod)
rsquared(meanmod, adjusted=TRUE)

##extract the paths searched:

paths(meanmod)

##extract the terminal models:

terminals(meanmod)

periodicdummies Make matrix of periodicity (e.g. seasonal) dummies

Description
Auxiliary function that generates periodicity dummies (e.g. seasonal dummies) for regular time
series. The function is similar to, but more general than, the seasonaldummy function in the forecast
package.

Usage
periodicdummies(x, values=1)

Arguments
x a regular time series (vector or matrix)
values numeric of length 1 (default) or numeric vector of length equal to frequency(x)

Value
A matrix of class zoo with the periodicity dummies

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

See Also
is.regular, zooreg, zoo, ts
88 predict.arx

Examples
##quarterly dummies:
x <- zooreg(rnorm(30), start=2000, frequency=4)
periodicdummies(x)

##monthly dummies:
y <- zooreg(rnorm(30), start=c(2000,1), frequency=12)
periodicdummies(y)

predict.arx Forecasting with ’arx’ models

Description
Generate out-of-sample forecasts up to n steps ahead for objects of class arx. Optionally, quantiles
of the forecasts are also returned if any of the arguments ci.levels or probs are specified. The
forecasts, confidence intervals and quantiles are obtained via simulation. By default, 5000 simu-
lations is used, but this can be changed via the n.sim argument. Also by default, the simulations
uses a classical bootstrap to sample from the standardised residuals. To use an alternative set of
standardised innovations, for example the standard normal, use the innov argument. If plot=TRUE,
then a plot of the forecasts is created.

Usage
## S3 method for class 'arx'
predict(object, spec=NULL, n.ahead=12, newmxreg=NULL,
newvxreg=NULL, newindex=NULL, n.sim=5000, innov=NULL, probs=NULL,
ci.levels=NULL, quantile.type=7, return=TRUE, verbose=FALSE,
plot=NULL, plot.options=list(), ...)

Arguments
object an object of class ’arx’
spec NULL (default), "mean", "variance" or "both". If NULL, then it is automatically
determined whether information pertaining to the mean or variance specification
should be returned
n.ahead integer that determines how many steps ahead predictions should be generated
(the default is 12)
newmxreg a matrix of n.ahead rows and NCOL(mxreg) columns with the out-of-sample
values of the mxreg regressors
newvxreg a matrix of n.ahead rows and NCOL(vxreg) columns with the out-of-sample
values of the vxreg regressors
newindex NULL (default) or the date-index for the zoo object returned by predict.arx. If
NULL, then the function uses the in-sample index to generate the out-of-sample
index
predict.arx 89

n.sim integer, the number of replications used for the generation of the forecasts
innov NULL (default) or a vector of length n.ahead * n.sim containing the standard-
ised errors (that is, zero mean and unit variance) used for the forecast simu-
lations. If NULL, then a classica bootstrap procedure is used to draw from the
standardised in-sample residuals
probs NULL (default) or a vector with the quantile-levels (values strictly between 0
and 1) of the forecast distribution. If NULL, then no quantiles are returned unless
ci.levels is non-NULL
ci.levels NULL (default) or a vector with the confidence levels (expressed as values strictly
between 0 and 1) of the forecast distribution. The upper and lower values of the
confidence interval(s) are returned as quantiles
quantile.type an integer between 1 and 9 that selects which algorithm to be used in computing
the quantiles, see the argument type in quantile
return logical. If TRUE (default), then the out-of-sample predictions are returned. The
value FALSE, which does not return the predictions, may be of interest if only a
prediction plot is of interest
verbose logical with default FALSE. If TRUE, then additional information (typically the
quantiles and/or the simulated series) used in the generation of forecasts is re-
turned. If FALSE, then only the forecasts are returned
plot NULL (default) or logical. If NULL, then the value set by options$plot (see
options) determines whether a plot is produced or not. If TRUE, then the out-
of-sample forecasts are plotted.
plot.options a list of options related to the plotting of forecasts, see ’Details’
... additional arguments

Details
The plot.options argument is a list that, optionally, can contain any of the following arguments:

• keep: integer greater than zero (the default is 12) that controls the number of in-sample actual
values to plot

• line.at.origin: logical. If TRUE, then a vertical line is drawn at the forecast origin, that is,
at the last in-sample observation

• start.at.origin: logical. If TRUE, then the drawing of the forecast line starts at the actual
value of the forecast origin

• dot.at.origin: logical. If TRUE, then a dot is drawn at the forecast origin

• hlines: numeric vector that indicates where to draw grey horisontal grid lines
90 predict.arx

• col: numeric vector of length two that controls the colour of the plotted lines. The first value
controls the colour of the forecasts and the fitted values, whereas the second controls the colour
of the actual values

• lty: numeric vector of length two that controls the line type. The first value controls the line
type of the forecast, whereas the second controls the line type of the actual and fitted values

• lwd: an integer that controls the width of the plotted lines (the default is 1)

• ylim: numeric vector of length two that contains the limits of the y-axis of the prediction plot

• ylab: a character that controls the text on the y-axis

• main: a character that controls the text in the overall title

• legend.text: a character vector of length two that controls how the forecast and actual lines
should be named or referred to in the legend of the plot

• fitted: If TRUE, then the fitted values as well as actual values are plotted in-sample

• newmactual: numeric vector or NULL (default). Enables the plotting of actual values out-of-
sample in the mean in addition to the forecasts

• newvactual: numeric vector or NULL (default). Enables the plotting of squared residuals (’ac-
tual values’) out-of-sample in addition to the forecasts

• shades: numeric vector of length length(ci.levels) that contains the shades of grey as-
sociated with the confidence intervals in the prediction plot. The shades can range from 100
(white) to 0 (black)

Value
a vector of class zoo containing the out-of-sample forecasts, or a matrix of class zoo containing
the out-of-sample forecasts together with prediction-quantiles, or NULL if return=FALSE

Author(s)
Felix Pretis, http://www.felixpretis.org/
James Reade, https://sites.google.com/site/jjamesreade/
Genaro Sucarrat, http://www.sucarrat.net/

See Also
arx
predict.arx 91

Examples

##simulate from an AR(1):

set.seed(123)
y <- arima.sim(list(ar=0.4), 40)

##estimate AR(2) model with intercept:

mymod <- arx(y, mc=TRUE, ar=c(1,2))

##generate out-of-sample forecasts:

predict(mymod)

##same, but plot the predictions in addition:

#predict(mymod, plot=TRUE)

##same, but return also the quantiles of the confidence intervals:

#predict(mymod, ci.levels=c(0.50,0.90), plot=TRUE)

##same, but with non-default levels on the confidence intervals:

#predict(mymod, ci.levels=c(0.20,0.80, 0.99), plot=TRUE)

##same, but with more confidence intervals:

#predict(mymod, ci.levels=seq(0.20, 0.95, by=0.05), plot=TRUE)

##same, but with less rugged ci's (achieved by increasing n.sim):

##predict(mymod, ci.levels=seq(0.20, 0.95, by=0.05), n.sim=50000, plot=TRUE)

##same, but using standard normals (instead of bootstrap) in the simulations:

#n.sim <- 2000
#n.ahead <- 12 #the default on n.ahead
#predict(mymod, ci.levels=seq(0.20, 0.95, by=0.05), n.sim=n.sim,
# innov=rnorm(n.ahead*n.sim), plot=TRUE)

##make x-regressors:
x <- matrix(rnorm(40*3), 40, 3)

##estimate AR(1) model with intercept and covariates:

mymod <- arx(y, mc=TRUE, ar=1, mxreg=x)

##predict up to 5 steps ahead, setting x's to 0 out-of-sample:

predict(mymod, n.ahead=5, newmxreg=matrix(0,5,NCOL(x)))

##same, but do also plot:

#predict(mymod, n.ahead=5, newmxreg=matrix(0,5,NCOL(x)),
# plot=TRUE)

##estimate an AR(2) model w/intercept and a log-ARCH(1) specification

##on the variance:
#mymodel <- arx(y, mc=TRUE, ar=1:2, arch=1)

##generate forecasts of the conditional variances:

#predict(mymodel, spec="variance")
92 printtex

##same, but do also plot:

#predict(mymodel, spec="variance", plot=TRUE)

##illustrations of the usage of plot.options:

#mymodel <- arx(y, mc=TRUE, ar=1)
#predict(mymodel, plot=TRUE, plot.options=list(keep=1))
#predict(mymodel, plot=TRUE, plot.options=list(line.at.origin=TRUE))
#predict(mymodel, plot=TRUE, plot.options=list(start.at.origin=FALSE))
#predict(mymodel, plot=TRUE,
# plot.options=list(start.at.origin=FALSE, fitted=TRUE))
#predict(mymodel, plot=TRUE, plot.options=list(dot.at.origin=FALSE))
#predict(mymodel, plot=TRUE, plot.options=list(hlines=c(-2,-1,0,1,2)))
#predict(mymodel, plot=TRUE, plot.options=list(col=c("darkred","green")))
#predict(mymodel, plot=TRUE, plot.options=list(lty=c(3,2)))
#predict(mymodel, plot=TRUE, plot.options=list(lwd=3))
#predict(mymodel, plot=TRUE, plot.options=list(ylim=c(-8,8)))
#predict(mymodel, plot=TRUE, plot.options=list(ylab="User-specified y-axis"))
#predict(mymodel, plot=TRUE,
# plot.options=list(main="User-specified overall title"))
#predict(mymodel, plot=TRUE,
# plot.options=list(legend.text=c("User-specified 1","User-specified 2")))
#predict(mymodel, plot=TRUE, plot.options=list(fitted=TRUE))
#predict(mymodel, plot=TRUE, plot.options=list(newmactual=rep(0,6)))
#predict(mymodel, plot=TRUE, plot.options=list(shades.of.grey=c(95,50)))
#predict(mymodel, plot=TRUE, plot.options=list(shades.of.grey=c(50,95))) #invert shades

printtex Generate LaTeX code of an estimation result

Description

Convenience functions that generates LaTeX-code of an estimation result in equation-form. printtex

can, in principle, be applied to any object for which coef, vcov and logLik methods exist. Note:
The generated LaTeX-code contains an eqnarray environment, which requires that the amsmath
package is loaded in the preamble of the LaTeX document.

Usage

printtex(x, fitted.name=NULL, xreg.names=NULL, digits=4,

intercept=TRUE, gof=TRUE, diagnostics=TRUE, nonumber=FALSE,
nobs="T", index="t", print.info=TRUE)
## S3 method for class 'arx'
toLatex(object, ...)
## S3 method for class 'gets'
toLatex(object, ...)
printtex 93

Arguments
x an estimation result, e.g. arx, gets or isat object
object an estimation result of class arx or gets
fitted.name NULL or a user-specified name of left-hand side variable
xreg.names NULL or a user-specified character vector with the names of regressors
digits integer, the number of digits to be printed
intercept logical or numeric. The argument determines whether one of the regressors is
an intercept or not, or its location. If TRUE, then the intercept is assumed to be
located at coef(x)[1], and hence the regressor-name of location 1 is excluded
from the print. If FALSE, then it is assumed that there is no intercept among the
regressors. If numeric, then it is assumed that the regressors contain an intercept
at the location equal to the numeric value
gof logical, whether to include goodness-of-fit in the print
diagnostics logical, whether to include diagnostics in the print
nonumber logical, whether to remove or not (default) the equation-numbering
nobs character, the notation to use to denote the number of observations
index NULL or a character, only relevant if fitted.name is not NULL, and if the object
in question is of class arx, gets or isat
print.info logical, whether to print the info at the start or not
... arguments passed on to printtex

Details
Currently, toLatex.arx and toLatex.gets are simply wrappers to printtex

Value
LaTeX code of an estimation result

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

See Also
arx, getsm, getsv, isat

Examples
##simulate random variates, estimate model:
y <- rnorm(30)
mX <- matrix(rnorm(30*2), 30, 2)
mymod <- arx(y, ar=1:3, mxreg=mX)

##print latex code of estimation result:

printtex(mymod)
94 recursive

##add intercept, at the end, to regressor matrix:

mX <- cbind(mX,1)
colnames(mX) <- c("xreg1", "xreg2", "intercept")
mymod <- arx(y, mc=FALSE, mxreg=mX)

##set intercept location to 3:

printtex(mymod, intercept=3)

recursive Recursive estimation

Description
Recursive estimation of coefficients and standard errors

Usage
recursive(object, spec="mean", std.errors=TRUE, from=40, tol=1e-07,
LAPACK=FALSE, plot=TRUE, return=TRUE)

Arguments
object an arx, gets or isat object
spec ’mean’ or ’variance’. If ’mean’ (default), the the recursive estimates of the
mean-equation are estimated
std.errors logical. If TRUE (default), then the coefficient standard errors are also computed
from integer. The starting point of the recursion
tol numeric. The tolerance for linear dependency among regressors
LAPACK logical, TRUE or FALSE (default). If true use LAPACK otherwise use LIN-
PACK, see qr function
plot NULL or logical. If TRUE, then the recursive coefficient estimates are plotted.
If NULL (default), then the value set by options determines whether a plot is
produced or not.
return logical. If TRUE (default), then the recursive estimates are returned in a list

Value
If return=TRUE, then a list is returned with the following components:

estimates a zoo matrix with the recursive estimates

standard.errors
a zoo matrix with the standard errors
regressorsMean 95

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

See Also
ols, qr, solve.qr

Examples
##generate random variates, estimate model:
y <- rnorm(100)
mX <- matrix(rnorm(4*100), 100, 4)
mymodel <- arx(y, mc=TRUE, mxreg=mX)

##compute recursive estimates and plot them:

recursive(mymodel)

regressorsMean Create the regressors of the mean equation

Description
The function generates the regressors of the mean equation in an arx model. The returned value is a
matrix with the regressors and, by default, the regressand in column one. By default, observations
(rows) with missing values are removed in the beginning and the end with na.trim, and the returned
matrix is a zoo object.

Usage
regressorsMean(y, mc = FALSE, ar = NULL, ewma = NULL, mxreg = NULL,
prefix="m", return.regressand = TRUE, return.as.zoo = TRUE, na.trim = TRUE,
na.omit=FALSE)

Arguments
y numeric vector, time-series or zoo object.
mc logical. TRUE includes an intercept, whereas FALSE (default) does not.
ar either NULL (default) or an integer vector, say, c(2,4) or 1:4 with the AR-lags
to include in the mean specification. If NULL, then no lags are included.
ewma either NULL (default) or a list with arguments sent to the eqwma function. In
the latter case a lagged moving average of y is included as a regressor.
mxreg either NULL (default), numeric vector or matrix, say, a zoo object, or data.frame
containing conditioning variables (covariates). Note that, if both y and mxreg
are zoo objects, then their samples are matched.
prefix character, possibly of length zero, e.g. "" or character(0). The prefix added
to the constant and covariate labels. The default is "m", so that the default labels
are "mconst" and "mxreg".
96 regressorsMean

return.regressand
logical. TRUE, the default, includes the regressand as column one in the returned
matrix.
return.as.zoo TRUE, the default, returns the matrix as a zoo object.
na.trim TRUE, the default, removes observations with NA-values in the beginning and the
end with na.trim.
na.omit TRUE, the non-default, removes observations with NA-values, not necessarily in
the beginning or in the end, with na.omit.

Value
A matrix, by default of class zoo, with the regressand as column one (the default).

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

References
Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): ’Automated General-to-Specific (GETS)
Regression Modeling and Indicator Saturation for Outliers and Structural Breaks’. Journal of Sta-
tistical Software 86, Number 3, pp. 1-44. DOI: https://www.jstatsoft.org/article/view/v086i03

See Also
arx, isat, regressorsVariance, zoo, eqwma, na.trim and na.trim.

Examples

##generate some data:

y <- rnorm(10) #regressand
x <- matrix(rnorm(10*5), 10, 5) #regressors

##create regressors (examples):

regressorsMean(y, mxreg=x)
regressorsMean(y, mxreg=x, return.regressand=FALSE)
regressorsMean(y, mc=TRUE, ar=1:3, mxreg=x)
regressorsMean(log(y^2), mc=TRUE, ar=c(2,4))

##let y and x be time-series:

y <- ts(y, frequency=4, end=c(2018,4))
x <- ts(x, frequency=4, end=c(2018,4))
regressorsMean(y, mxreg=x)
regressorsMean(y, mc=TRUE, ar=1:3, mxreg=x)
regressorsMean(log(y^2), mc=TRUE, ar=c(2,4))

##missing values (NA):

y[1] <- NA
x[10,3] <- NA
regressorsMean(y, mxreg=x)
regressorsVariance 97

regressorsMean(y, mxreg=x, na.trim=FALSE)

regressorsVariance Create the regressors of the variance equation

Description
The function generates the regressors of the log-variance equation in an arx model. The returned
value is a matrix with the regressors and, by default, the regressand in column one. By default,
observations (rows) with missing values are removed in the beginning and the end with na.trim,
and the returned matrix is a zoo object.

Usage
regressorsVariance(e, vc = TRUE, arch = NULL, asym = NULL,
log.ewma = NULL, vxreg = NULL, zero.adj = 0.1, vc.adj = TRUE,
return.regressand = TRUE, return.as.zoo = TRUE, na.trim = TRUE,
na.omit = FALSE)

Arguments
e numeric vector, time-series or zoo object.
vc logical. TRUE includes an intercept in the log-variance specification, whereas
FALSE (default) does not. If the log-variance specification contains any other
item but the log-variance intercept, then vc is set to TRUE
arch either NULL (default) or an integer vector, say, c(1,3) or 2:5. The log-ARCH
lags to include in the log-variance specification
asym either NULL (default) or an integer vector, say, c(1) or 1:3. The asymmetry (i.e.
’leverage’) terms to include in the log-variance specification
log.ewma either NULL (default) or a vector of the lengths of the volatility proxies, see
leqwma
vxreg either NULL (default) or a numeric vector or matrix, say, a zoo object, of condi-
tioning variables. If both y and mxreg are zoo objects, then their samples are
chosen to match
zero.adj numeric value between 0 and 1. The quantile adjustment for zero values. The
default 0.1 means the zero residuals are replaced by the 10 percent quantile of
the absolute residuals before taking the logarithm
vc.adj logical. If TRUE (default), then the log-variance intercept is adjusted by the esti-
mate of E[ln(z^2)], where z is the standardised error. This adjustment is needed
for the conditional scale to be equal to the conditional standard deviation. If
FALSE, then the log-variance intercept is not adjusted
return.regressand
logical. TRUE, the default, includes the regressand as column one in the returned
matrix.
98 regressorsVariance

return.as.zoo TRUE, the default, returns the matrix as a zoo object.

na.trim TRUE, the default, removes observations with NA-values in the beginning and the
end with na.trim.
na.omit TRUE, the non-default, removes observations with NA-values, not necessarily in
the beginning or in the end, with na.omit.

Value
A matrix, by default of class zoo, with the regressand as column one (the default).

Author(s)
Genaro Sucarrat, http://www.sucarrat.net/

References
Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): ’Automated General-to-Specific (GETS)
Regression Modeling and Indicator Saturation for Outliers and Structural Breaks’. Journal of Sta-
tistical Software 86, Number 3, pp. 1-44. DOI: https://www.jstatsoft.org/article/view/v086i03
Sucarrat, Genaro and Escribano, Alvaro (2012): ’Automated Financial Model Selection: General-
to-Specific Modelling of the Mean and Volatility Specifications’, Oxford Bulletin of Economics and
Statistics 74, Issue 5 (October), pp. 716-735

See Also
regressorsMean, arx, zoo, leqwma, na.trim and na.omit.

Examples

##generate some data:

eps <- rnorm(10) #error term
x <- matrix(rnorm(10*5), 10, 5) #regressors

##create regressors (examples):

regressorsVariance(eps, vxreg=x)
regressorsVariance(eps, vxreg=x, return.regressand=FALSE)
regressorsVariance(eps, arch=1:3, vxreg=x)
regressorsVariance(eps, arch=1:2, asym=1, vxreg=x)
regressorsVariance(eps, arch=1:2, asym=1, log.ewma=5)

##let eps and x be time-series:

eps <- ts(eps, frequency=4, end=c(2018,4))
x <- ts(x, frequency=4, end=c(2018,4))
regressorsVariance(eps, vxreg=x)
regressorsVariance(eps, arch=1:3, vxreg=x)
regressorsVariance(eps, arch=1:2, asym=1, vxreg=x)
regressorsVariance(eps, arch=1:2, asym=1, log.ewma=5)
so2data 99

so2data UK SO2 Data

Description

UK Annual Total Anthropogenic Sulphur Dioxide (SO2) Emissions 1946-2005.

Usage

data("so2data")

Format

A data frame with 60 observations on the following 4 variables.

year Year of observation

uk_tot_so2 UK annual total anthropogenic SO2 emissions in gigagrams
Luk_tot_so2 Log of UK annual total anthropogenic SO2 emissions
DLuk_tot_so2 First difference of Log UK annual total anthropogenic SO2 emissions

Details

Data reports the total estimated anthropogenic SO2 emissions aggregated over coal, petroleum,
biomass combustion, smelting, fuel processing, and other processes.

Source

Smith, SJ, J van Aardenne, Z Klimont, RJ Andres, A Volke, and S Delgado Arias. (2011). An-
thropogenic Sulfur Dioxide Emissions, 1850-2005: National and Regional Data Set by Source Cat-
egory, Version 2.86. Data distributed by the NASA Socioeconomic Data and Applications Center
(SEDAC), CIESIN, Columbia University, Palisades, New York. Available at
http://sedac.ciesin.columbia.edu/data/set/haso2-anthro-sulfur-dioxide-emissions-1850-2005-v2-86

References

Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): ’Automated General-to-Specific (GETS)
Regression Modeling and Indicator Saturation for Outliers and Structural Breaks’. Journal of Sta-
tistical Software 86, Number 3, pp. 1-44
Smith, SJ, J van Aardenne, Z Klimont, RJ Andres, A Volke, and S Delgado Arias. (2011). An-
thropogenic Sulfur Dioxide Emissions: 1850-2005, Atmospheric Chemistry and Physics, 11:1101-
1116.
100 sp500data

Examples
data(so2data)

##create annual zoo object:

newso2data<- zooreg(so2data[,-1], start=1946, frequency=1)

##plot UK annual total anthropogenic SO2 emissions:

plot(newso2data$uk_tot_so2)

sp500data Daily Standard and Poor’s 500 index data

Description
Daily Standard and Poor’s 500 (SP500) index data from 3 January 1950 to 8 March 2016.

Usage
data("sp500data")

Format
A data frame with 16652 observations on the following 7 variables:
Date the dates
Open the opening values of the index
High the daily maximum value of the index
Low the daily minimum value of the index
Close the closing values of the index
Volume the traded volume
Adj.Close the adjusted closing values of the index

Source
Yahoo Finance, retrieved 9 March 2016

References
Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): ’Automated General-to-Specific (GETS)
Regression Modeling and Indicator Saturation for Outliers and Structural Breaks’. Journal of Sta-
tistical Software 86, Number 3, pp. 1-44

Examples
data(sp500data)
sp500data <- zoo(sp500data[, -1], order.by = as.Date(sp500data[, "Date"]))
plot(window(sp500data, start = as.Date("2000-01-03")))
vargaugeiis 101

vargaugeiis Variance of the Impulse Indicator Saturation Gauge

Description
Computes the variance of the gauge (false-positive rate of outliers under the null of no outliers) in
impulse indicator saturation based on Jiao and Pretis (2019).

Usage
vargaugeiis(t.pval, T, infty=FALSE, m=1)

Arguments
t.pval numeric, between 0 and 1. Selection p-value used in indicator saturation.
T integer, sample sized used in indicator saturation.
m integer, number of iterations in variance computation, default=1
infty logical, argument used for variance computation

Details
The function computes the variance of the Gauge (false-positive rate of outliers in impulse indicator
saturation) for a given level of significance of selection (t.pval) and sample size (T) based on Jiao
and Pretis (2019). This is an auxilliary function used within the outliertest function.

Value
Returns a dataframe of the variance and standard deviation of the gauge, as well the asymptotic
variance and standard deviation.

Author(s)
Felix Pretis, http://www.felixpretis.org/

References
Jiao, X. & Pretis, F. (2019). Testing the Presence of Outliers in Regression Models. Discussion
Paper.
Pretis, F., Reade, J., & Sucarrat, G. (2018). Automated General-to-Specific (GETS) regression mod-
eling and indicator saturation methods for the detection of outliers and structural breaks. Journal of
Statistical Software, 86(3).

See Also
isat, outliertest
102 vargaugeiis

Examples
###Computing the variance of the gauge under the null for a sample of T=200 observations:
vargaugeiis(t.pval=0.05, T=200, infty=FALSE, m=1)
Index

∗ Climate Econometrics gets.lm, 41

arx, 5 gets.logitx, 43
as.arx, 9 getsFun, 45
blocksFun, 12 getsm, 49
coef.logitx, 25 gmm, 53
diagnostics, 27 hpdata, 55
distorttest, 29 iim, 56
distorttestboot, 31 infldata, 58
gets, 38 infocrit, 59
gets-package, 3 isat, 60
gets.isat, 39 isatdates, 65
gets.lm, 41 isatloop, 66
gets.logitx, 43 isattest, 67
getsFun, 45 isatvar, 70
isat, 60 isatvarcorrect, 72
logit, 75 isvarcor, 73
logitx, 77 isvareffcor, 74
logitxSim, 79 logit, 75
printtex, 92 logitx, 77
∗ Econometrics logitxSim, 79
arx, 5 mvrnormsim, 80
as.arx, 9 ols, 81
as.lm, 10 outlierscaletest, 83
biascorr, 11 outliertest, 84
blocksFun, 12 paths, 86
coef.arx, 15 periodicdummies, 87
coef.gets, 18 predict.arx, 88
coef.isat, 22 printtex, 92
coef.logitx, 25 recursive, 94
diagnostics, 27 regressorsMean, 95
distorttest, 29 regressorsVariance, 97
distorttestboot, 31 vargaugeiis, 101
dropvar, 33 ∗ Financial Econometrics
eqwma, 34 arx, 5
ES, 36 as.arx, 9
eviews, 37 as.lm, 10
gets, 38 biascorr, 11
gets-package, 3 blocksFun, 12
gets.isat, 39 coef.arx, 15

103
104 INDEX

coef.gets, 18 biascorr, 11
coef.isat, 22 blocksFun, 12
coef.logitx, 25 coef.arx, 15
diagnostics, 27 coef.gets, 18
distorttest, 29 coef.isat, 22
distorttestboot, 31 coef.logitx, 25
dropvar, 33 diagnostics, 27
eqwma, 34 distorttest, 29
ES, 36 distorttestboot, 31
eviews, 37 dropvar, 33
gets, 38 eqwma, 34
gets-package, 3 ES, 36
gets.isat, 39 eviews, 37
gets.lm, 41 gets, 38
gets.logitx, 43 gets-package, 3
getsFun, 45 gets.isat, 39
getsm, 49 gets.lm, 41
gmm, 53 gets.logitx, 43
hpdata, 55 getsFun, 45
iim, 56 getsm, 49
infocrit, 59 gmm, 53
isat, 60 iim, 56
isatdates, 65 infldata, 58
isatloop, 66 infocrit, 59
isattest, 67 isat, 60
isatvar, 70 isatdates, 65
isatvarcorrect, 72 isatloop, 66
isvarcor, 73 isattest, 67
isvareffcor, 74 isatvar, 70
logit, 75 isatvarcorrect, 72
logitx, 77 isvarcor, 73
logitxSim, 79 isvareffcor, 74
mvrnormsim, 80 logit, 75
ols, 81 logitx, 77
outlierscaletest, 83 logitxSim, 79
outliertest, 84 mvrnormsim, 80
paths, 86 ols, 81
periodicdummies, 87 outlierscaletest, 83
predict.arx, 88 outliertest, 84
printtex, 92 paths, 86
recursive, 94 periodicdummies, 87
regressorsMean, 95 predict.arx, 88
regressorsVariance, 97 printtex, 92
vargaugeiis, 101 recursive, 94
∗ Statistical Models regressorsMean, 95
arx, 5 regressorsVariance, 97
as.arx, 9 vargaugeiis, 101
as.lm, 10 ∗ Time Series
INDEX 105

arx, 5 regressorsMean, 95
as.arx, 9 regressorsVariance, 97
as.lm, 10 vargaugeiis, 101
biascorr, 11 ∗ datasets
blocksFun, 12 hpdata, 55
coef.arx, 15 infldata, 58
coef.gets, 18 so2data, 99
coef.isat, 22 sp500data, 100
coef.logitx, 25 ∗ emissions
diagnostics, 27 so2data, 99
distorttest, 29
distorttestboot, 31 AIC, 59
dropvar, 33 arx, 3, 4, 5, 9, 10, 17, 24, 27, 28, 35–37, 52,
eqwma, 34 61, 64, 82, 88, 90, 93–98
ES, 36 as.arx, 9
as.lm, 10
eviews, 37
gets, 38 biascorr, 11, 68, 69, 71
gets-package, 3 BIC, 59
gets.isat, 39 blocksFun, 4, 12, 27, 28, 45
gets.lm, 41
gets.logitx, 43 character, 93
getsFun, 45 coef.arx, 8, 15
getsm, 49 coef.gets, 12, 18, 24, 52, 69, 71
gmm, 53 coef.isat, 22, 64
hpdata, 55 coef.logitx, 25, 44, 78
iim, 56
infldata, 58 data.frame, 27, 28, 95
infocrit, 59 diagnostics, 7, 15, 27, 40, 47, 48, 50, 51, 62
isat, 60 distorttest, 29, 31, 32
isatdates, 65 distorttestboot, 30, 31
isatloop, 66 dlogitx (logitx), 77
isattest, 67 dlogitxSim (logitxSim), 79
isatvar, 70 do.call, 27, 47
isatvarcorrect, 72 dropvar, 33, 78
isvarcor, 73
eqwma, 6, 34, 52, 61, 64, 77, 95, 96
isvareffcor, 74
ES, 8, 36
logit, 75
eviews, 37
logitx, 77
logitxSim, 79 fitted.arx, 8
mvrnormsim, 80 fitted.arx (coef.arx), 15
ols, 81 fitted.gets, 52
outlierscaletest, 83 fitted.gets (coef.gets), 18
outliertest, 84 fitted.isat, 64
paths, 86 fitted.isat (coef.isat), 22
periodicdummies, 87 fitted.logitx, 78
predict.arx, 88 fitted.logitx (coef.logitx), 25
printtex, 92
recursive, 94 gets, 10, 20, 38, 41, 93
106 INDEX

gets-package, 3 na.trim, 6, 61, 66, 77, 95–98

gets.arx, 3, 4 nlminb, 75–78
gets.isat, 38, 39 numeric, 86
gets.lm, 3, 38, 41
gets.logitx, 3, 26, 38, 43, 78 ols, 13, 15, 27, 45, 47, 48, 54, 81, 82, 95
getsFun, 3, 4, 7, 13–15, 27, 28, 38, 40–44, 45, options, 7, 20, 23, 41, 44, 51, 63, 78, 89, 94
50–52, 62, 64 outlierscaletest, 66, 67, 80, 81, 83
getsm, 4, 8, 21, 24, 27, 28, 35–38, 41, 42, 45, outliertest, 84, 101
49, 60, 63, 86, 93
getsv, 4, 8, 21, 27, 28, 35–38, 45, 48, 86, 93 paths, 24, 41, 42, 52, 64, 86
getsv (getsm), 49 periodicdummies, 87
gmm, 53 plot.arx, 8
plot.arx (coef.arx), 15
hpdata, 55 plot.gets, 12, 52, 69, 71
plot.gets (coef.gets), 18
iim, 56 plot.isat, 64
infldata, 58 plot.isat (coef.isat), 22
info.criterion (infocrit), 59 plot.logitx, 78
infocrit, 15, 40, 47, 48, 50, 59 plot.logitx (coef.logitx), 25
is.regular, 87 predict.arx, 20, 24, 88
isat, 3, 4, 8, 10–12, 15, 21, 24, 27–33, 37, 39, predict.gets (coef.gets), 18
41, 45, 57, 60, 60, 65–73, 84–86, 93, predict.isat (coef.isat), 22
96, 101 print.arx, 8
isatdates, 65 print.arx (coef.arx), 15
isatloop, 66, 83, 84 print.distorttestboot
isattest, 12, 67, 71 (distorttestboot), 31
isatvar, 12, 69, 70, 74, 75 print.gets, 52
isatvarcorrect, 72 print.gets (coef.gets), 18
isvarcor, 72, 73, 73 print.isat, 64
isvareffcor, 72, 73, 74 print.isat (coef.isat), 22
print.logitx, 78
leqwma, 6, 52, 64, 97, 98 print.logitx (coef.logitx), 25
leqwma (eqwma), 34 printCoefmat, 16, 19, 23, 26
list, 6, 7, 15, 27, 40, 47, 50, 62, 76, 77, 82, printtex, 92
86, 94, 95
lm, 9, 10, 41, 42, 61 qr, 7, 33, 63, 82, 94, 95
logit, 75, 78 qr.solve, 14, 40, 47, 51, 52
logitx, 3, 26, 43, 44, 77, 80 quantile, 20, 23, 89
logitxSim, 26, 44, 78, 79
logLik.arx (coef.arx), 15 recursive, 8, 94
logLik.gets (coef.gets), 18 regressorsMean, 95, 98
logLik.isat (coef.isat), 22 regressorsVariance, 96, 97
logLik.logitx, 78 residuals.arx, 8
logLik.logitx (coef.logitx), 25 residuals.arx (coef.arx), 15
residuals.gets, 52
model.matrix.arx (coef.arx), 15 residuals.gets (coef.gets), 18
mvrnormsim, 80 residuals.isat, 64
residuals.isat (coef.isat), 22
na.omit, 96, 98 rsquared, 8
INDEX 107

rsquared (paths), 86

sigma.arx, 8
sigma.arx (coef.arx), 15
sigma.gets (coef.gets), 18
sigma.isat (coef.isat), 22
sim (iim), 56
so2data, 99
solve, 53, 54, 76, 78
solve.qr, 82, 95
sp500data, 100
stata (eviews), 37
summary.arx, 8
summary.arx (coef.arx), 15
summary.gets, 52
summary.gets (coef.gets), 18
summary.isat, 64
summary.isat (coef.isat), 22
summary.logitx, 78
summary.logitx (coef.logitx), 25

terminals, 24, 41, 42, 52, 64

terminals (paths), 86
tim (iim), 56
toLatex.arx (printtex), 92
toLatex.gets (printtex), 92
toLatex.logitx, 78
toLatex.logitx (coef.logitx), 25
ts, 87

VaR, 8
VaR (ES), 36
vargaugeiis, 101
vcov.arx, 8
vcov.arx (coef.arx), 15
vcov.gets, 52
vcov.gets (coef.gets), 18
vcov.isat, 64
vcov.isat (coef.isat), 22
vcov.logitx, 78
vcov.logitx (coef.logitx), 25

zoo, 6, 16, 17, 20, 24, 35, 52, 57, 61, 64, 66,
77, 79, 87, 90, 94–98
zooreg, 87