The R Package getslmem provides a toolkit for the stimation and General-to-Specific (GETS) modelling of logarithmic Multiplicative Error Models (MEMs) with covariates ('X'), log-MEM-X in short. MEMs are robust and flexible models for non-negative variable like, for example, volatility, volume, prices and the unemployment rate. Both static and dynamic MEMs can be estimated. GETS modelling is a powerful variable selection algorithm that returns a parsimonious model with the variables that matter the most.
The package getslmem requires version 0.39 of the package gets, which is under development (that is, version 0.39 is not on CRAN yet). The following code can be used to install gets version 0.39 from Github:
install.packages(
"https://github.com/gsucarrat/gets/raw/master/gets_devel.tar.gz",
repos = NULL, type = "source"
)
Next, to install getslmem, use the following command:
install.packages(
"https://github.com/gsucarrat/getslmem/raw/main/getslmem_1.0.tar.gz",
repos = NULL, type = "source"
)