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BigVAR  

Dimension Reduction Methods for Multivariate Time Series
View on CRAN: Click here


Download and install BigVAR package within the R console
Install from CRAN:
install.packages("BigVAR")

Install from Github:
library("remotes")
install_github("cran/BigVAR")

Install by package version:
library("remotes")
install_version("BigVAR", "1.1.4")



Attach the package and use:
library("BigVAR")
Maintained by
Will Nicholson
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2016-05-18
Latest Update: 2025-06-28
Description:
Estimates VAR and VARX models with Structured Penalties using the methods developed by Nicholson et al (2017) and Nicholson et al (2020) .
How to cite:
Will Nicholson (2016). BigVAR: Dimension Reduction Methods for Multivariate Time Series. R package version 1.1.4, https://cran.r-project.org/web/packages/BigVAR. Accessed 05 Aug. 2026.
Previous versions and publish date:
1.0.1 (2016-05-25 16:02), 1.0.2 (2017-04-03 08:16), 1.0.3 (2018-07-22 22:40), 1.0.4 (2019-01-22 06:20), 1.0.6 (2019-12-02 07:50), 1.0 (2016-05-18 01:34), 1.1.0 (2022-03-22 09:30), 1.1.1 (2022-10-02 18:00), 1.1.2 (2023-01-09 15:43), 1.1.3 (2025-06-28 06:40), 1.1.4 (2025-11-04 09:30), (2026-07-09 07:58)
Other packages that cited BigVAR R package
View BigVAR citation profile
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Complete documentation for BigVAR
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