gasmodel

Estimation, forecasting, and simulation of generalized autoregressive score (GAS) models of Creal, Koopman, and Lucas (2013) doi:10.1002/jae.1279 and Harvey (2013) doi:10.1017/cbo9781139540933. Model specification allows for various data types and distributions, different parametrizations, exogenous variables, joint and separate modeling of exogenous variables and dynamics, higher score and autoregressive orders, custom and unconditional initial values of time-varying parameters, fixed and bounded values of coefficients, and missing values. Model estimation is performed by the maximum likelihood method.

Last 30 days

This package has been downloaded 267 times in the last 30 days. Now we're getting somewhere! Enough downloads to populate a lively group chat. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 7 times.

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Last 365 days

This package has been downloaded 4,043 times in the last 365 days. Now we’re talking! This work is officially 'heard of in academic circles', just like those wild research papers on synthetic bananas. The day with the most downloads was Jul 21, 2024 with 143 downloads.

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