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BigVAR (version 1.1.3)

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

562

Version

1.1.3

License

GPL (>= 2)

Issues

21

Pull Requests

1

Stars

59

Forks

17

Maintainer

Will Nicholson

Last Published

June 28th, 2025

Functions in BigVAR (1.1.3)

BigVAR.est

BigVAR Estimation
VARXForecastEval

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

Fit a VAR or VARX model by least squares
Y

Simulated Multivariate Time Series
Y1

Example quarterly macroeconomic data
plot.BigVAR

Plot a BigVAR object
constructModel

Construct an object of class BigVAR
cv.BigVAR

Cross Validation for BigVAR
predict

Forecast using a BigVAR.results object
show.BigVAR

Default show method for an object of class BigVAR
BigVAR.fit

Simple function to fit BigVAR model with fixed penalty parameter
BigVAR.results

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

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

Generator for Simulated Multivariate Time Series
BigVAR-class

BigVAR Object Class
BigVAR

Dimension Reduction Methods for Multivariate Time Series.
plot

Plot an object of class BigVAR.results
BigVAR.intermediate

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

Simulate a VAR
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
VARXLagCons

Construct a VAR or VARX lag matrix
VarptoVar1MC

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