sparsevar

<p>It performs the estimation of the matrices of the models using penalized
least squares methods such as LASSO, SCAD and MCP.</p>

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>.

Simone Vazzoler

Sparse VAR/VECM Models Estimation

sparsevar function

<p><code>fitVAR</code>, <code>fitVECM</code>, <code>simulateVAR</code>, <code>createSparseMatrix</code>,
<code>plotMatrix</code>, <code>plotVAR</code>, <code>plotVECM</code>
<code>l2norm</code>, <code>l1norm</code>, <code>lInftyNorm</code>, <code>maxNorm</code>, <code>frobNorm</code>,
<code>spectralRadius</code>, <code>spectralNorm</code>, <code>impulseResponse</code></p>

sparsevar: sparsevar: A package to estimate multivariate time series models (such as VAR and VECM), under the sparsity hypothesis.

Description

Arguments

sparsevar functions