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.

Author
Simone Vazzoler [aut, cre], Lorenzo Frattarolo [aut], Monica Billio [aut]
Date of publication
2016-11-07 21:07:46
Maintainer
Simone Vazzoler <svazzole@gmail.com>
License
GPL-2
Version
0.0.10
URLs

View on CRAN

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

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