ElasticNetVAR: Elastic Net vector autoregression

In GabauerDavid/ConnectednessApproach: Connectedness Approach

Elastic Net vector autoregression

Description

Estimation of a VAR using equation-by-equation LASSO, Ridge or Elastic Net regressions.

Usage

ElasticNetVAR(
  x,
  configuration = list(nlag = 1, nfolds = 10, loss = "mae", alpha = NULL, n_alpha = 10)
)

Arguments

x	zoo data matrix
configuration	Model configuration
nlag	Lag length
nfolds	N-fold cross validation
loss	Loss function
alpha	LASSO is alpha equal 1 and Ridge if alpha equal 0
n_alpha	Creates n-equidistant alpha values

Value

Estimate VAR model

Author(s)

David Gabauer

References

Tibshirani, R., Bien, J., Friedman, J., Hastie, T., Simon, N., Taylor, J., & Tibshirani, R. J. (2012). Strong rules for discarding predictors in lasso‐type problems. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 74(2), 245-266.

Hoerl, A. E., & Kennard, R. W. (1970). Ridge regression: Biased estimation for nonorthogonal problems. Technometrics, 12(1), 55-67.

Zou, H., & Hastie, T. (2005). Regularization and variable selection via the elastic net. Journal of the royal statistical society: series B (statistical methodology), 67(2), 301-320.

Gabauer, D., Gupta, R., Marfatia, H. A., & Miller, S. M. (2024). Estimating US housing price network connectedness: Evidence from dynamic Elastic Net, Lasso, and ridge vector autoregressive models. International Review of Economics & Finance, 89, 349-362.

Examples

data("dy2012")
fit = ElasticNetVAR(dy2012, configuration=list(nlag=1, alpha=1, nfolds=10, loss="mae"))

GabauerDavid/ConnectednessApproach documentation built on March 5, 2025, 11:17 a.m.