A Package for Sparse VAR/VECM Estimation


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Documentation for package ‘sparsevar’ version 0.0.10

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sparsevar-package sparsevar: A package to estimate multivariate time series models (such as VAR and VECM), under the sparsity hypothesis.
accuracy Accuracy metric
bootstrappedVAR Bootstrap VAR
checkImpulseZero Check Impulse Zero
checkIsVar Check is var
companionVAR Companion VAR
computeForecasts Computes forecasts for VARs
createSparseMatrix Create Sparse Matrix
errorBandsIRF Error bands for IRF
fitVAR Multivariate VAR estimation
fitVECM Multivariate VECM estimation
frobNorm Froebenius norm of a matrix
impulseResponse Impulse Response Function
informCrit Computes information criteria for VARs
l1norm L1 matrix norm
l2norm L2 matrix norm
lInftyNorm L-infinity matrix norm
maxNorm Max-norm of a matrix
mcSimulations Monte Carlo simulations
plotIRF IRF plot
plotIRFGrid IRF grid plot
plotMatrix Matrix plot
plotVAR Plot VARs
plotVECM Plot VECMs
simulateVAR VAR simulation
sparsevar sparsevar: A package to estimate multivariate time series models (such as VAR and VECM), under the sparsity hypothesis.
spectralNorm Spectral norm
spectralRadius Spectral radius
testGranger Test for Ganger Causality
transformData Transorm data
varENET VAR ENET
varMCP VAR MCP
varSCAD VAR SCAD