Package: sparsevar 0.1.0

sparsevar: Sparse VAR/VECM Models Estimation

A wrapper for sparse VAR/VECM time series models estimation using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped Absolute Deviation) and MCP (Minimax Concave Penalty). Based on the work of Sumanta Basu and George Michailidis <doi:10.1214/15-AOS1315>.

Authors:Simone Vazzoler [aut, cre]

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sparsevar.pdf |sparsevar.html✨
sparsevar/json (API)
NEWS

# Install 'sparsevar' in R:
install.packages('sparsevar', repos = c('https://svazzole.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/svazzole/sparsevar/issues

On CRAN:

Conda:

econometricslassomcpscadsparsestatisticstime-seriesvarvecm

5.69 score 11 stars 1 packages 30 scripts 212 downloads 35 exports 45 dependencies

Last updated 4 years agofrom:2fbaf6080a. Checks:9 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 09 2025
R-4.5-winOKFeb 07 2025
R-4.5-macOKFeb 07 2025
R-4.5-linuxOKMar 09 2025
R-4.4-linuxOKMar 09 2025
R-4.4-winOKFeb 07 2025
R-4.4-macOKFeb 07 2025
R-4.3-winOKFeb 07 2025
R-4.3-macOKFeb 07 2025

Exports:accuracybootstrappedVARcheckImpulseZerocheckIsVarcompanionVARcomputeForecastscreateSparseMatrixdecomposePierrorBandsIRFfitVARfitVARXfitVECMfrobNormimpulseResponseinformCritl1norml2normlInftyNormmaxNormmcSimulationsmultiplotplotIRFplotIRFGridplotMatrixplotVARplotVECMsimulateVARsimulateVARXspectralNormspectralRadiustestGrangertransformDatavarENETvarMCPvarSCAD

Dependencies:clicodetoolscolorspacecorpcordoParallelfansifarverforeachggplot2glmnetgluegtableisobanditeratorslabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellmvtnormncvregnlmepicassopillarpkgconfigplyrR6RColorBrewerRcppRcppEigenreshape2rlangscalesshapestringistringrsurvivaltibbleutf8vctrsviridisLitewithr

Using sparsevar package

Rendered fromusing.Rmdusingknitr::rmarkdownon Mar 09 2025.

Last update: 2016-11-06
Started: 2016-07-05