check_impulse_zero

A function to find which entries of the impulse
response function are zero.

A wrapper for sparse VAR (Vector Autoregression) and
VECM (Vector Error Correction Model) 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 Basu and Michailidis (2015)
<doi:10.1214/15-AOS1315>.

Simone Vazzoler

sparsevar

Sparse VAR (Vector Autoregression) / VECM (Vector Error
Correction Model) Estimation

check_impulse_zero function

<dl><dt>irf</dt>
<dd>irf output from impulseResponse function</dd></dl>

Arguments

Check Impulse Zero — check_impulse_zero

<dl>

<dt>irf</dt>
<dd>irf output from impulseResponse function</dd>

</dl>

check_impulse_zero: Check Impulse Zero

Description

Usage

Value

Arguments