sparsevar (0.0.10)

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A Package for Sparse VAR/VECM Estimation.

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

Maintainer: Simone Vazzoler
Author(s): Simone Vazzoler [aut, cre], Lorenzo Frattarolo [aut], Monica Billio [aut]

License: GPL-2

Uses: doParallel, flare, ggplot2, glmnet, Matrix, mvtnorm, ncvreg, picasso, reshape2, testthat, knitr

Released over 2 years ago.

4 previous versions



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