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sparsevar: Sparse VAR (Vector Autoregression) / VECM (Vector Error Correction Model) Estimation
A wrapper for sparse VAR (Vector Autoregression) and VECM (Vector Error Correction Model) time series models estimation using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped Absolute Deviation) and MCP (Minimax Concave Penalty). Based on the work of Basu and Michailidis (2015) <doi:10.1214/15-AOS1315>.
Getting started
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Package details |
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| Author | Simone Vazzoler [aut, cre] |
| Maintainer | Simone Vazzoler <svazzole@gmail.com> |
| License | GPL-2 |
| Version | 1.0.0 |
| URL | https://github.com/svazzole/sparsevar |
| Package repository | View on CRAN |
| Installation |
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