Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: David Ardia, Kris Boudt, Leopoldo Catania
Title: Generalized Autoregressive Score Models in R: The GAS Package
Abstract: This paper presents the R package GAS for the analysis of time series under the generalized autoregressive score (GAS) framework of Creal, Koopman, and Lucas (2013) and Harvey (2013). The distinctive feature of the GAS approach is the use of the score function as the driver of time-variation in the parameters of non-linear models. The GAS package provides functions to simulate univariate and multivariate GAS processes, to estimate the GAS parameters and to make time series forecasts. We illustrate the use of the GAS package with a detailed case study on estimating the time-varying conditional densities of financial asset returns.

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Paper: Generalized Autoregressive Score Models in R: The GAS Package     Download PDF (Downloads: 3726)
GAS_0.3.0.tar.gz: R source package Download (Downloads: 240; 1MB)
v88i06.R: R replication code Download (Downloads: 314; 23KB)
RecessionBarDaily_FRED.RData: Supplementary data (R binary format) Download (Downloads: 216; 6KB)

DOI: 10.18637/jss.v088.i06

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.