sparsevar

Sparse VAR/VECM Models Estimation

CRAN Package

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.

  • Version0.1.0
  • R versionunknown
  • LicenseGPL-2
  • Needs compilation?No
  • Last release04/18/2021

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