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NetVAR  

Network Structures in VAR Models
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("NetVAR", "0.1-2")



Attach the package and use:
library("NetVAR")
Maintained by
Simon Trimborn
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-09-22
Latest Update: 2025-09-22
Description:
Vector AutoRegressive (VAR) type models with tailored regularisation structures are provided to uncover network type structures in the data, such as influential time series (influencers). Currently the package implements the LISAR model from Zhang and Trimborn (2023) <doi:10.2139/ssrn.4619531>. The package automatically derives the required regularisation sequences and refines it during the estimation to provide the optimal model. The package allows for model optimisation under various loss functions such as Mean Squared Forecasting Error (MSFE), Akaike Information Criterion (AIC), and Bayesian Information Criterion (BIC). It provides a dedicated class, allowing for summary prints of the optimal model and a plotting function to conveniently analyse the optimal model via heatmaps.
How to cite:
Simon Trimborn (2025). NetVAR: Network Structures in VAR Models. R package version 0.1-2, https://cran.r-project.org/web/packages/NetVAR. Accessed 14 Mar. 2026.
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