plot_var

Plot all the matrices of a VAR model

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

plot_var function

<dl><dt>...</dt>
<dd>a sequence of VAR objects (one or more
than one, as from <code>simulateVAR</code> or <code>fitVAR</code>)</dd>
<dt>colors</dt>
<dd>the gradient used to plot the matrix. It can be "light" (low =
red -- mid = white -- high = blue) or "dark" (low = red -- mid = black --
high = green)</dd></dl>

Arguments

Plot VARs — plot_var

<dl>

<dt>...</dt>
<dd>a sequence of VAR objects (one or more
than one, as from <code>simulateVAR</code> or <code>fitVAR</code>)</dd>


<dt>colors</dt>
<dd>the gradient used to plot the matrix. It can be "light" (low =
red -- mid = white -- high = blue) or "dark" (low = red -- mid = black --
high = green)</dd>

</dl>

plot_var: Plot VARs

Description

Usage

Value

Arguments