R/sparsevar.R

In sparsevar: Sparse VAR/VECM Models Estimation

#' sparsevar: A package to estimate multivariate time series models (such as VAR and
#' VECM), under the sparsity hypothesis.
#'
#' It performs the estimation of the matrices of the models using penalized
#' least squares methods such as LASSO, SCAD and MCP.
#'
#' @section sparsevar functions:
#' \code{fitVAR}, \code{fitVECM}, \code{simulateVAR}, \code{createSparseMatrix},
#' \code{plotMatrix}, \code{plotVAR}, \code{plotVECM}
#' \code{l2norm}, \code{l1norm}, \code{lInftyNorm}, \code{maxNorm}, \code{frobNorm},
#' \code{spectralRadius}, \code{spectralNorm}, \code{impulseResponse}
#'
#' @docType package
#' @name sparsevar
#'
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