DREGAR0.1.3.0 package

Regularized Estimation of Dynamic Linear Regression in the Presence of Autocorrelated Residuals (DREGAR)

dregar

Estimating (just) adaptive-DREGAR coefficients using an iterative 2-st...

dregar2

Estimating adaptive/non-adaptive DREGAR coefficients using an iterativ...

generateAR

Generating stationary autoregressive coefficients

sim.dregar

Simulating data from DREGAR model

Download source packageRead PDF manual

A penalized/non-penalized implementation for dynamic regression in the presence of autocorrelated residuals (DREGAR) using iterative penalized/ordinary least squares. It applies Mallows CP, AIC, BIC and GCV to select the tuning parameters.