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Estimates VAR and VARX models with Structured Penalties using the methods developed by Nicholson et al (2017)doi:10.1016/j.ijforecast.2017.01.003 and Nicholson et al (2020) doi:10.48550/arXiv.1412.5250.
github.com/wbnicholson/BigVAR | |
System requirements | C++11 |
Bug report | File report |
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