quadVAR0.1.2 package

Quadratic Vector Autoregression

Estimate quadratic vector autoregression models with the strong hierarchy using the Regularization Algorithm under Marginality Principle (RAMP) by Hao et al. (2018) <doi:10.1080/01621459.2016.1264956>, compare the performance with linear models, and construct networks with partial derivatives.

  • Maintainer: Jingmeng Cui
  • License: GPL (>= 3)
  • Last published: 2025-02-11