Sparse VAR (Vector Autoregression) / VECM (Vector Error Correction Model) Estimation
Accuracy metric
Bootstrap VAR
Check Impulse Zero
Check is var
Companion VAR
Computes forecasts for VARs
Create Sparse Matrix
Decompose Pi VECM matrix
Error bands for IRF
Multivariate VAR estimation
Multivariate VARX estimation
Multivariate VECM estimation
Frobenius norm of a matrix
Impulse Response Function
Computes information criteria for VARs
L-infinity matrix norm
L1 matrix norm
L2 matrix norm
Max-norm of a matrix
Multiplots with ggplot
IRF grid plot
IRF plot
Matrix plot
Plot VARs
Plot VECMs
VAR simulation
VARX simulation
sparsevar: A package to estimate multivariate time series models (such...
Spectral norm
Spectral radius
Test for Ganger Causality
Transform data
True Negative Rate
True Positive Rate
VAR ENET
VAR MCP
VAR SCAD
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>.