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sparsevar  

Sparse VAR/VECM Models Estimation
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("sparsevar", "0.1.0")



Attach the package and use:
library("sparsevar")
Maintained by
Simone Vazzoler
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2016-05-04
Latest Update: 2021-04-18
Description:
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>.
How to cite:
Simone Vazzoler (2016). sparsevar: Sparse VAR/VECM Models Estimation. R package version 0.1.0, https://cran.r-project.org/web/packages/sparsevar. Accessed 19 Apr. 2025.
Previous versions and publish date:
0.0.3 (2016-05-04 12:47), 0.0.5 (2016-06-07 13:55), 0.0.7 (2016-07-06 09:44), 0.0.9 (2016-10-19 13:07), 0.0.10 (2016-11-07 21:07), 0.0.11 (2019-08-19 23:10), 0.1.0 (2021-04-18 06:50)
Other packages that cited sparsevar R package
View sparsevar citation profile
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Complete documentation for sparsevar
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