impulse_response

A function to estimate the Impulse Response Function of a
given VAR.

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

impulse_response function

<dl><dt>v</dt>
<dd>the data in the for of a VAR</dd>
<dt>len</dt>
<dd>length of the impulse response function</dd></dl>

Arguments

Impulse Response Function — impulse_response

<dl>

<dt>v</dt>
<dd>the data in the for of a VAR</dd>


<dt>len</dt>
<dd>length of the impulse response function</dd>

</dl>

impulse_response: Impulse Response Function

Description

Usage

Value

Arguments