Add GETS indicator saturation (SIS/IIS/MIS/TIS) with example notebook

Implements the Autometrics/GETS algorithm for detecting structural breaks
via general-to-specific model selection with indicator saturation.

New features:
- gets_search(): bounded iterative GETS reduction with multi-path search
- isat(): indicator saturation with SIS (level shifts), IIS (outliers),
  MIS (coefficient shifts), TIS (broken trends), and user indicators
- Split-half block procedure for large indicator sets
- Dual representation: shifts <-> regime levels with SE propagation
  via the delta method
- 3 visualization functions: plot_sis_coefficients, plot_mis_coefficients,
  plot_regime_levels
- .isat() convenience methods on OLS, AR, ADL models
- Example notebook 05 demonstrating all features including comparison
  with Bai-Perron and Markov switching

166 new tests (1069 total), lint clean.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>

Author: Morten Tabor

examples/05_gets_indicator_saturation.ipynb

@@ -50,6 +50,7 @@
     CUSUMTest,
     DiagnosticsResults,
     DiagnosticTestResult,
+    GETSResults,
     MarkovADL,
     MarkovADLResults,
     MarkovAR,
@@ -82,11 +83,15 @@
     RollingOLS,
     RollingOLSResults,
     RollingResultsBase,
+    SaturationResults,
     SequentialRestrictionResults,
     SequentialRestrictionTest,
+    TerminalModel,
     TimeSeriesModelBase,
     adl_summary_by_regime,
     ar_summary_by_regime,
+    gets_search,
+    isat,
     plot_actual_fitted,
     plot_break_confidence,
     plot_breaks,
@@ -95,14 +100,17 @@
     plot_diagnostics,
     plot_f_sequence,
     plot_ic,
+    plot_mis_coefficients,
     plot_parameter_time_series,
     plot_params_over_time,
+    plot_regime_levels,
     plot_regime_means,
     plot_regime_shading,
     plot_residual_acf,
     plot_residual_distribution,
     plot_rolling_coefficients,
     plot_scaled_residuals,
+    plot_sis_coefficients,
     plot_smoothed_probabilities,
     plot_transition_matrix,
     summary_by_regime,
@@ -128,6 +136,7 @@
     "CovType",
     "DiagnosticTestResult",
     "DiagnosticsResults",
+    "GETSResults",
     "MarkovADL",
     "MarkovADLResults",
     "MarkovAR",
@@ -160,12 +169,16 @@
     "RollingOLS",
     "RollingOLSResults",
     "RollingResultsBase",
+    "SaturationResults",
     "SequentialRestrictionResults",
     "SequentialRestrictionTest",
+    "TerminalModel",
     "TimeSeriesModelBase",
     "__version__",
     "adl_summary_by_regime",
     "ar_summary_by_regime",
+    "gets_search",
+    "isat",
     "plot_actual_fitted",
     "plot_break_confidence",
     "plot_breaks",
@@ -174,14 +187,17 @@
     "plot_diagnostics",
     "plot_f_sequence",
     "plot_ic",
+    "plot_mis_coefficients",
     "plot_parameter_time_series",
     "plot_params_over_time",
+    "plot_regime_levels",
     "plot_regime_means",
     "plot_regime_shading",
     "plot_residual_acf",
     "plot_residual_distribution",
     "plot_rolling_coefficients",
     "plot_scaled_residuals",
+    "plot_sis_coefficients",
     "plot_smoothed_probabilities",
     "plot_transition_matrix",
     "summary_by_regime",

src/regimes/__init__.py

@@ -4,10 +4,18 @@
 classes and functions in the regimes package.
 """
 
-# Models
 # Diagnostics
 from regimes.diagnostics import DiagnosticsResults, DiagnosticTestResult
 
+# GETS model selection and indicator saturation
+from regimes.gets import (
+    GETSResults,
+    SaturationResults,
+    TerminalModel,
+    gets_search,
+    isat,
+)
+
 # Markov switching models
 from regimes.markov import (
     MarkovADL,
@@ -104,6 +112,11 @@
     plot_smoothed_probabilities,
     plot_transition_matrix,
 )
+from regimes.visualization.gets import (
+    plot_mis_coefficients,
+    plot_regime_levels,
+    plot_sis_coefficients,
+)
 
 __all__ = [
     "ADL",
@@ -125,6 +138,7 @@
     "CovType",
     "DiagnosticTestResult",
     "DiagnosticsResults",
+    "GETSResults",
     "MarkovADL",
     "MarkovADLResults",
     "MarkovAR",
@@ -157,11 +171,15 @@
     "RollingOLS",
     "RollingOLSResults",
     "RollingResultsBase",
+    "SaturationResults",
     "SequentialRestrictionResults",
     "SequentialRestrictionTest",
+    "TerminalModel",
     "TimeSeriesModelBase",
     "adl_summary_by_regime",
     "ar_summary_by_regime",
+    "gets_search",
+    "isat",
     "plot_actual_fitted",
     "plot_break_confidence",
     "plot_breaks",
@@ -170,14 +188,17 @@
     "plot_diagnostics",
     "plot_f_sequence",
     "plot_ic",
+    "plot_mis_coefficients",
     "plot_parameter_time_series",
     "plot_params_over_time",
+    "plot_regime_levels",
     "plot_regime_means",
     "plot_regime_shading",
     "plot_residual_acf",
     "plot_residual_distribution",
     "plot_rolling_coefficients",
     "plot_scaled_residuals",
+    "plot_sis_coefficients",
     "plot_smoothed_probabilities",
     "plot_transition_matrix",
     "summary_by_regime",

src/regimes/api.py

@@ -0,0 +1,40 @@
+"""GETS model selection and indicator saturation.
+
+This subpackage implements the Autometrics algorithm (Doornik, 2009) for
+automated general-to-specific model selection, including indicator saturation
+for detecting structural breaks.
+"""
+
+from regimes.gets.indicators import (
+    impulse_indicators,
+    multiplicative_indicators,
+    step_indicators,
+    trend_indicators,
+)
+from regimes.gets.representation import (
+    ParameterRegime,
+    RegimeLevelsRepresentation,
+    ShiftsRepresentation,
+    levels_to_shifts,
+    shifts_to_levels,
+)
+from regimes.gets.results import GETSResults, TerminalModel
+from regimes.gets.saturation import SaturationResults, isat
+from regimes.gets.selection import gets_search
+
+__all__ = [
+    "GETSResults",
+    "ParameterRegime",
+    "RegimeLevelsRepresentation",
+    "SaturationResults",
+    "ShiftsRepresentation",
+    "TerminalModel",
+    "gets_search",
+    "impulse_indicators",
+    "isat",
+    "levels_to_shifts",
+    "multiplicative_indicators",
+    "shifts_to_levels",
+    "step_indicators",
+    "trend_indicators",
+]