NEWS.md

In sparsevar: Sparse VAR/VECM Models Estimation

sparsevar 0.1.0

• Fix bug in plotIRF
• Linted code
• Fixed knitr/markdown/rmarkdown problems as in https://github.com/yihui/knitr/issues/1864

sparsevar 0.0.11

• Added CV on a predefined list of lambdas (thanks to PierrickPiette)

sparsevar 0.0.10

• Added plotVECM function
• Removed plotComparisonVAR (substituted by plotVAR)
• Added the option to generate VARs with given matrices
• Fixed AIC
• Fixed problems with error bands options
• Added tests
• Added the function computeForecasts

sparsevar 0.0.9

• Fast SCAD estimation (using picasso package; works only with SCAD and timeSlice)
• Added function to compute VAR forecasts
• Added information criteria (AIC, Schwartz and Hannan-Quinn)
• Fixed mean estimation for timeSlice

sparsevar 0.0.7

• Major code rewriting
• Remove dependencies from MTS and caret
• Added impulse response error bands (using bootstrap)
• Added plot functions for IRF
• New timeSlice estimation
• Removed repeated cross validation

sparsevar 0.0.6

• Added impulse response function for VAR processes

sparsevar 0.0.5

• Added timeSlice estimation
• Fixed normalization constant in creating sparse var matrix
• Fixed parallel backend in Windows

sparsevar 0.0.4

• Added as output the residuals of the estimation (for estimateVAR)
• Fixed parallel background in LASSO estimation
• Now repeatedCV returns MSE

sparsevar documentation built on April 18, 2021, 9:08 a.m.