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.

Package details

AuthorSimone Vazzoler [aut, cre], Lorenzo Frattarolo [aut], Monica Billio [aut]
MaintainerSimone Vazzoler <[email protected]>
Package repositoryView on CRAN
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sparsevar documentation built on May 2, 2019, 8:22 a.m.