General-to-Specific (GETS) Modelling of objects of class 'logitx'
gets.logitx.Rd
General-to-Specific (GETS) Modelling of a dynamic Autoregressive (AR) logit model with covariates ('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. IfFALSE
, then a PET is not undertaken at each regressor removal- user.diagnostics
NULL
(default) or alist
with two entries,name
andpval
, seegetsFun
- 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. IfFALSE
(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. IfFALSE
(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. IfFALSE
(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. IfNULL
, 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
. IfTRUE
(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 whenturbo=TRUE
- print.searchinfo
logical
. IfTRUE
(default), then a print is returned whenever simiplification along a new path is started- plot
NULL
or logical. IfTRUE
, then a plot is produced. IfNULL
(default), then the value set byoptions
determines whether a plot is produced or not- alarm
logical
. IfTRUE
, 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).
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
Author
Genaro Sucarrat, http://www.sucarrat.net/
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)
#> 10 path(s) to search
#> Searching:
#> 1
#> 2
#> 3
#> 4
#> 5
#> 6
#> 7
#> 8
#> 9
#> 10
#>
#> Date: Sat Jul 27 15:29:53 2024
#> Dependent var.: y
#> Method: Maximum Likelihood (logit)
#> Variance-Covariance: Ordinary
#> No. of observations: 96
#> Sample: 5 to 100
#>
#> Start model (GUM):
#>
#> reg.no. keep coef std.error t-stat p-value
#> intercept 1 0 -0.8500962 0.42943 -1.979613 0.02547 *
#> ar1 2 0 0.6026207 0.47106 1.279290 0.10212
#> ar2 3 0 0.3959259 0.46187 0.857232 0.19685
#> ar3 4 0 0.7065778 0.45945 1.537867 0.06388 .
#> ar4 5 0 -0.0086638 0.47389 -0.018282 0.49273
#> xreg1 6 0 -0.3449343 0.24557 -1.404649 0.08186 .
#> xreg2 7 0 -0.1020382 0.24258 -0.420630 0.33754
#> xreg3 8 0 0.0946418 0.22873 0.413766 0.34004
#> xreg4 9 0 -0.0828681 0.22377 -0.370320 0.35603
#> xreg5 10 0 -0.1679998 0.24140 -0.695929 0.24417
#> ---
#> Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
#>
#> Paths searched:
#>
#> path 1 : 1 9 3 8 7 5 2 10 4 6
#> path 2 : 2 5 7 9 8 10 3 1 4 6
#> path 3 : 3 5 8 7 9 10 6 2 1 4
#> path 4 : 4 9 5 8 7 10 3 1 2 6
#> path 5 : 5 9 7 8 10 3 6 2 1 4
#> path 6 : 6 9 7 5 8 10 3 2 1 4
#> path 7 : 7 5 9 8 10 3 6 2 1 4
#> path 8 : 8 5 7 9 10 3 6 2 1 4
#> path 9 : 9 5 7 8 10 3 6 2 1 4
#> path 10 : 10 5 9 7 8 3 6 2 1 4
#>
#> Terminal models:
#>
#> spec 1 :
#>
#> info(sc) logl n k
#> spec 1 (1-cut): 1.3863 -66.5421 96 0
#>
#> The empty model
#>
#> Log-lik.(n=96) -66.5421