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BigVAR (version 1.1.4)

Dimension Reduction Methods for Multivariate Time Series

Description

Estimates VAR and VARX models with Structured Penalties.

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Version

Install

install.packages('BigVAR')

Monthly Downloads

1,144

Version

1.1.4

License

GPL (>= 2)

Issues

21

Pull Requests

1

Stars

61

Forks

17

Maintainer

Will Nicholson

Last Published

November 4th, 2025

Functions in BigVAR (1.1.4)

plot.BigVAR

Plot a BigVAR object
predict

Forecast using a BigVAR.results object
PredictVARX

One-step ahead predictions for VARX models
SparsityPlot.BigVAR.results

Sparsity Plot of a BigVAR.results object
show

Default show method for an object of class BigVAR.results
cv.BigVAR

Cross Validation for BigVAR
show.BigVAR

Default show method for an object of class BigVAR
constructModel

Construct an object of class BigVAR
coef

Default coef method BigVAR-results, returns the last coefficient matrix from the evaluation period
plot

Plot an object of class BigVAR.results
A

Generator for Simulated Multivariate Time Series
MultVarSim

Simulate a VAR
BigVAR-class

BigVAR Object Class
BigVAR.results

BigVAR.results This class contains the results from cv.BigVAR.
BigVAR.est

BigVAR Estimation
BigVAR

Dimension Reduction Methods for Multivariate Time Series.
BigVAR.intermediate

BigVAR.intermediate This class contains the in-sample results for cv.BigVAR
VarptoVar1MC

Converts a VAR coefficient matrix of order p to multiple companion form
BigVAR.fit

Simple function to fit BigVAR model with fixed penalty parameter
VARXFit

Fit a VAR or VARX model by least squares
VARXLagCons

Construct a VAR or VARX lag matrix
VARXForecastEval

Evaluate forecasts from a VAR or VARX with lag orders selected by AIC/BIC
Y

Simulated Multivariate Time Series
Y1

Example quarterly macroeconomic data