var.lasso

<p>Lasso-type estimator of VAR processes via <code>l1</code>-regularised <code>M</code>-estimation</p>

internal

Implements methods for network estimation and forecasting of high-dimensional time series
exhibiting strong serial and cross-sectional correlations under a factor-adjusted vector autoregressive model.
See Barigozzi, Cho and Owens (2024+) <doi:10.1080/07350015.2023.2257270> for further descriptions of FNETS methodology and
Owens, Cho and Barigozzi (2024+) <arXiv:2301.11675> accompanying the R package.

Haeran Cho

fnets

Factor-Adjusted Network Estimation and Forecasting for
High-Dimensional Time Series

Matteo Barigozzi

Dom Owens

var.lasso function

Lasso-type estimator of VAR processes via l1-regularised M-estimation — var.lasso

Lasso-type estimator of VAR processes via <code>l1</code>-regularised <code>M</code>-estimation

var.lasso: Lasso-type estimator of VAR processes via `l1`-regularised `M`-estimation

Description

Usage

Arguments