sparsevar: A Package for Sparse VAR/VECM Estimation

A wrapper for sparse VAR/VECM time series models estimation using penalties like ENET, SCAD and MCP.

AuthorSimone Vazzoler [aut, cre], Lorenzo Frattarolo [aut], Monica Billio [aut]
Date of publication2016-11-07 21:07:46
MaintainerSimone Vazzoler <svazzole@gmail.com>
LicenseGPL-2
Version0.0.10
http://github.com/svazzole/sparsevar

View on CRAN

Files in this package

sparsevar
sparsevar/inst
sparsevar/inst/doc
sparsevar/inst/doc/using.R
sparsevar/inst/doc/using.pdf
sparsevar/inst/doc/using.Rmd
sparsevar/tests
sparsevar/tests/testthat.R
sparsevar/tests/testthat
sparsevar/tests/testthat/testIsWorking.R
sparsevar/NAMESPACE
sparsevar/NEWS.md
sparsevar/R
sparsevar/R/utils.R sparsevar/R/utilsVAR.R sparsevar/R/fitVAR.R sparsevar/R/createSparseMatrix.R sparsevar/R/simulateVAR.R sparsevar/R/timeSlice.R sparsevar/R/impulseResponse.R sparsevar/R/plotIRF.R sparsevar/R/mcSimulations.R sparsevar/R/fitVECM.R sparsevar/R/sparsevar.R sparsevar/R/plotMatrix.R
sparsevar/vignettes
sparsevar/vignettes/using_cache
sparsevar/vignettes/using_cache/latex
sparsevar/vignettes/using_cache/latex/unnamed-chunk-4_3897a5d4efc534c41ac499bc2c9439b6.RData
sparsevar/vignettes/using_cache/latex/unnamed-chunk-7_ed36c6df10e0fd7f41f62fe376f5eeb8.rdb
sparsevar/vignettes/using_cache/latex/__packages
sparsevar/vignettes/using_cache/latex/unnamed-chunk-10_3875fca48dd018157a6c4a96b6a44b9a.RData
sparsevar/vignettes/using_cache/latex/unnamed-chunk-5_18789e32a330a381ec44593f5f2f6b41.rdx
sparsevar/vignettes/using_cache/latex/unnamed-chunk-5_18789e32a330a381ec44593f5f2f6b41.rdb
sparsevar/vignettes/using_cache/latex/unnamed-chunk-4_3897a5d4efc534c41ac499bc2c9439b6.rdx
sparsevar/vignettes/using_cache/latex/unnamed-chunk-10_3875fca48dd018157a6c4a96b6a44b9a.rdx
sparsevar/vignettes/using_cache/latex/unnamed-chunk-10_3875fca48dd018157a6c4a96b6a44b9a.rdb
sparsevar/vignettes/using_cache/latex/unnamed-chunk-7_ed36c6df10e0fd7f41f62fe376f5eeb8.RData
sparsevar/vignettes/using_cache/latex/unnamed-chunk-4_3897a5d4efc534c41ac499bc2c9439b6.rdb
sparsevar/vignettes/using_cache/latex/unnamed-chunk-7_ed36c6df10e0fd7f41f62fe376f5eeb8.rdx
sparsevar/vignettes/using_cache/latex/unnamed-chunk-5_18789e32a330a381ec44593f5f2f6b41.RData
sparsevar/vignettes/using.Rmd
sparsevar/README.md
sparsevar/MD5
sparsevar/build
sparsevar/build/vignette.rds
sparsevar/DESCRIPTION
sparsevar/man
sparsevar/man/fitVAR.Rd sparsevar/man/accuracy.Rd sparsevar/man/plotVAR.Rd sparsevar/man/l1norm.Rd sparsevar/man/varENET.Rd sparsevar/man/varSCAD.Rd sparsevar/man/computeForecasts.Rd sparsevar/man/companionVAR.Rd sparsevar/man/checkIsVar.Rd sparsevar/man/frobNorm.Rd sparsevar/man/l2norm.Rd sparsevar/man/informCrit.Rd sparsevar/man/testGranger.Rd sparsevar/man/mcSimulations.Rd sparsevar/man/fitVECM.Rd sparsevar/man/maxNorm.Rd sparsevar/man/plotMatrix.Rd sparsevar/man/sparsevar.Rd sparsevar/man/lInftyNorm.Rd sparsevar/man/checkImpulseZero.Rd sparsevar/man/errorBandsIRF.Rd sparsevar/man/spectralNorm.Rd sparsevar/man/bootstrappedVAR.Rd sparsevar/man/simulateVAR.Rd sparsevar/man/plotVECM.Rd sparsevar/man/plotIRFGrid.Rd sparsevar/man/impulseResponse.Rd sparsevar/man/plotIRF.Rd sparsevar/man/transformData.Rd sparsevar/man/createSparseMatrix.Rd sparsevar/man/varMCP.Rd sparsevar/man/spectralRadius.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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