sparsevar (0.0.5)

A Package for Sparse VAR/VECM Estimation.

http://github.com/svazzole/sparsevar
http://cran.r-project.org/web/packages/sparsevar

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: caret, doParallel, ggplot2, glmnet, Matrix, MTS, ncvreg, reshape2, knitr

Released over 3 years ago.