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

Functions

accuracy Man page
bootstrappedVAR Man page
checkImpulseZero Man page
checkIsVar Man page
companionVAR Man page
computeForecasts Man page
createSparseMatrix Man page
errorBandsIRF Man page
fitVAR Man page
fitVECM Man page
frobNorm Man page
impulseResponse Man page
informCrit Man page
l1norm Man page
l2norm Man page
lInftyNorm Man page
maxNorm Man page
mcSimulations Man page
plotIRF Man page
plotIRFGrid Man page
plotMatrix Man page
plotVAR Man page
plotVECM Man page
simulateVAR Man page
sparsevar Man page
sparsevar-package Man page
spectralNorm Man page
spectralRadius Man page
testGranger Man page
transformData Man page
varENET Man page
varMCP Man page
varSCAD Man page

Files

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.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.