sparsevar: A Package for Sparse VAR/VECM Estimation

A wrapper for sparse VAR/VECM time series models estimation using penalties like ENET, SCAD and MCP.

Version: 0.0.10
Depends: R (≥ 1.8.0)
Imports: Matrix, ncvreg, parallel, doParallel, glmnet, ggplot2, reshape2, grid, mvtnorm, flare, picasso
Suggests: knitr, testthat
Published: 2016-11-07
Author: Simone Vazzoler [aut, cre], Lorenzo Frattarolo [aut], Monica Billio [aut]
Maintainer: Simone Vazzoler <svazzole at gmail.com>
BugReports: http://github.com/svazzole/sparsevar
License: GPL-2
URL: http://github.com/svazzole/sparsevar
NeedsCompilation: yes
Materials: README NEWS
In views: TimeSeries
CRAN checks: sparsevar results

Downloads:

Reference manual: sparsevar.pdf
Vignettes: Using sparsevar
Package source: sparsevar_0.0.10.tar.gz
Windows binaries: r-devel: sparsevar_0.0.10.zip, r-release: sparsevar_0.0.10.zip, r-oldrel: sparsevar_0.0.10.zip
OS X binaries: r-release: sparsevar_0.0.10.tgz, r-oldrel: not available
Old sources: sparsevar archive

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