Man pages for Marga8/HDGCvar
Granger Causality Testing in High Dimensional Vector Autoregressive Models
| active_set | Determine the active set variables via lasso regression but... |
| active_set_1 | Determine the active set variables via lasso regression. |
| apf_fdrOpt | Wrapper around APFr |
| bic | Lasso Bayesian Information Criterion |
| create_lags | Lags creation |
| create_lags_RV | Lags creation: Daily, Weekly, Monthly aggregation for... |
| HDGC_HVAR | Test Granger causality in High Dimensional HVARs |
| HDGC_HVAR_all | Granger Causality Network in High Dimensional HVARs |
| HDGC_HVAR_multiple | Test multiple combinations Granger causality in High... |
| HDGC_HVAR_multiple_pairs | Test multiple pairs Granger causality in High Dimensional... |
| HDGC_HVAR_multiple_RVCOV | Test multiple combinations Granger causality for realized... |
| HDGC_HVAR_RVCOV | Test Granger causality for Realized Volatilities in High... |
| HDGC_HVAR_RV_RCoV_all | Networks of Realized Volatilities conditional on the set of... |
| HDGC_VAR | Test Granger causality in High Dimensional mixed Integrated... |
| HDGC_VAR_all | Granger Causality Network in High Dimensional mixed... |
| HDGC_VAR_all_I0 | Granger Causality Network in High Dimensional Stationary VARs |
| HDGC_VAR_I0 | Test Granger causality in High Dimensional Stationary VARs |
| HDGC_VAR_multiple | Test multiple combinations Granger causality in High... |
| HDGC_VAR_multiple_I0 | Test multiple combinations Granger causality in High... |
| HDGC_VAR_multiple_pairs | Test multiple pairs Granger causality in High Dimensional... |
| HDGC_VAR_multiple_pairs_I0 | Test multiple pairs Granger causality in High Dimensional... |
| inv_matrix_sqrt | Inverse square root matrix |
| lags_upbound_BIC | Lag length Selection via BIC empirical upper bound |
| LM_test | LM test |
| LM_test_robust | LM test heteroscedastic robust |
| matrix_sqrt | Calculate square root of a matrix |
| ols | Ordinary Least Squares |
| ols_no_int | Ordinary Least Squares without intercept |
| Plot_GC_all | Plot High-Dimensional Granger causality Networks |
| Realized_corr | Computing Realized Correlation |
| resid_covariance | Residuals Covariance Matrix |
| sample_dataset_I0 | Stationary Sample Data for Examples |
| sample_dataset_I1 | Unit Root Sample Data for Examples |
| sample_RV | Dataset of simulated Realized Volatilities via HAR(1,5,22) |
| simplify_list | simplify output |
| simplify_list_RV | simplify output |
| split_matrix | Split Big Matrix |
