General-to-Specific (GETS) Modelling and Indicator Saturation
Methods
Automated General-to-Specific (GETS) modelling of the mean and variance of a regression, and indicator saturation methods for detecting and testing for structural breaks in the mean, see Pretis, Reade and Sucarrat (2018) for an overview of the package. In advanced use, the estimator and diagnostics tests can be fully user-specified, see Sucarrat (2021) .