sparsevar: A Package for Sparse VAR/VECM Estimation
Version 0.0.10

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
URL http://github.com/svazzole/sparsevar
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("sparsevar")

Getting started

README.md
Using sparsevar package

Popular man pages

frobNorm: Froebenius norm of a matrix
l1norm: L1 matrix norm
maxNorm: Max-norm of a matrix
plotIRFGrid: IRF grid plot
plotVECM: Plot VECMs
sparsevar: sparsevar: A package to estimate multivariate time series...
spectralRadius: Spectral radius
See all...

All man pages Function index File listing

Man pages

accuracy: Accuracy metric
bootstrappedVAR: Bootstrap VAR
checkImpulseZero: Check Impulse Zero
checkIsVar: Check is var
companionVAR: Companion VAR
computeForecasts: Computes forecasts for VARs
createSparseMatrix: Create Sparse Matrix
errorBandsIRF: Error bands for IRF
fitVAR: Multivariate VAR estimation
fitVECM: Multivariate VECM estimation
frobNorm: Froebenius norm of a matrix
impulseResponse: Impulse Response Function
informCrit: Computes information criteria for VARs
l1norm: L1 matrix norm
l2norm: L2 matrix norm
lInftyNorm: L-infinity matrix norm
maxNorm: Max-norm of a matrix
mcSimulations: Monte Carlo simulations
plotIRF: IRF plot
plotIRFGrid: IRF grid plot
plotMatrix: Matrix plot
plotVAR: Plot VARs
plotVECM: Plot VECMs
simulateVAR: VAR simulation
sparsevar: sparsevar: A package to estimate multivariate time series...
spectralNorm: Spectral norm
spectralRadius: Spectral radius
testGranger: Test for Ganger Causality
transformData: Transorm data
varENET: VAR ENET
varMCP: VAR MCP
varSCAD: VAR SCAD

Functions

accuracy Man page Source code
bootstrappedVAR Man page Source code
checkImpulseZero Man page Source code
checkIsVar Man page Source code
checkMatrices Source code
companionVAR Man page Source code
computeErrors Source code
computeErrorsPicasso Source code
computeForecasts Man page Source code
computeResiduals Source code
createSparseMatrix Man page Source code
cvVAR Source code
cvVAR_ENET Source code
cvVAR_MCP Source code
cvVAR_SCAD Source code
duplicateMatrix Source code
errorBandsIRF Man page Source code
estimateCovariance Source code
fitVAR Man page Source code
fitVECM Man page Source code
frobNorm Man page Source code
generateVARseries Source code
getIRF Source code
impulseResponse Man page Source code
informCrit Man page Source code
l1norm Man page Source code
l2norm Man page Source code
lInftyNorm Man page Source code
matrixSum Source code
maxNorm Man page Source code
mcSimulations Man page Source code
multiplot Source code
plotIRF Man page Source code
plotIRFGrid Man page Source code
plotMatrix Man page Source code
plotVAR Man page Source code
plotVECM Man page Source code
simulateVAR Man page Source code
sparsevar Man page
sparsevar-package Man page
spectralNorm Man page Source code
spectralRadius Man page Source code
splitMatrix Source code
testGranger Man page Source code
timeSliceVAR Source code
timeSliceVAR_ENET Source code
timeSliceVAR_SCAD Source code
transformData Man page Source code
varENET Man page Source code
varMCP Man page Source code
varSCAD Man page Source code

Files

inst
inst/doc
inst/doc/using.R
inst/doc/using.pdf
inst/doc/using.Rmd
tests
tests/testthat.R
tests/testthat
tests/testthat/testIsWorking.R
NAMESPACE
NEWS.md
R
R/utils.R
R/utilsVAR.R
R/fitVAR.R
R/createSparseMatrix.R
R/simulateVAR.R
R/timeSlice.R
R/impulseResponse.R
R/plotIRF.R
R/mcSimulations.R
R/fitVECM.R
R/sparsevar.R
R/plotMatrix.R
vignettes
vignettes/using_cache
vignettes/using_cache/latex
vignettes/using_cache/latex/unnamed-chunk-4_3897a5d4efc534c41ac499bc2c9439b6.RData
vignettes/using_cache/latex/unnamed-chunk-7_ed36c6df10e0fd7f41f62fe376f5eeb8.rdb
vignettes/using_cache/latex/__packages
vignettes/using_cache/latex/unnamed-chunk-10_3875fca48dd018157a6c4a96b6a44b9a.RData
vignettes/using_cache/latex/unnamed-chunk-5_18789e32a330a381ec44593f5f2f6b41.rdx
vignettes/using_cache/latex/unnamed-chunk-5_18789e32a330a381ec44593f5f2f6b41.rdb
vignettes/using_cache/latex/unnamed-chunk-4_3897a5d4efc534c41ac499bc2c9439b6.rdx
vignettes/using_cache/latex/unnamed-chunk-10_3875fca48dd018157a6c4a96b6a44b9a.rdx
vignettes/using_cache/latex/unnamed-chunk-10_3875fca48dd018157a6c4a96b6a44b9a.rdb
vignettes/using_cache/latex/unnamed-chunk-7_ed36c6df10e0fd7f41f62fe376f5eeb8.RData
vignettes/using_cache/latex/unnamed-chunk-4_3897a5d4efc534c41ac499bc2c9439b6.rdb
vignettes/using_cache/latex/unnamed-chunk-7_ed36c6df10e0fd7f41f62fe376f5eeb8.rdx
vignettes/using_cache/latex/unnamed-chunk-5_18789e32a330a381ec44593f5f2f6b41.RData
vignettes/using.Rmd
README.md
MD5
build
build/vignette.rds
DESCRIPTION
man
man/fitVAR.Rd
man/accuracy.Rd
man/plotVAR.Rd
man/l1norm.Rd
man/varENET.Rd
man/varSCAD.Rd
man/computeForecasts.Rd
man/companionVAR.Rd
man/checkIsVar.Rd
man/frobNorm.Rd
man/l2norm.Rd
man/informCrit.Rd
man/testGranger.Rd
man/mcSimulations.Rd
man/fitVECM.Rd
man/maxNorm.Rd
man/plotMatrix.Rd
man/sparsevar.Rd
man/lInftyNorm.Rd
man/checkImpulseZero.Rd
man/errorBandsIRF.Rd
man/spectralNorm.Rd
man/bootstrappedVAR.Rd
man/simulateVAR.Rd
man/plotVECM.Rd
man/plotIRFGrid.Rd
man/impulseResponse.Rd
man/plotIRF.Rd
man/transformData.Rd
man/createSparseMatrix.Rd
man/varMCP.Rd
man/spectralRadius.Rd
sparsevar documentation built on May 19, 2017, 8:42 p.m.

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