sparsevar: Sparse VAR/VECM Models Estimation

A wrapper for sparse VAR/VECM 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 Sumanta Basu and George Michailidis <doi:10.1214/15-AOS1315>.

Version:	0.1.0
Depends:	R (≥ 3.5.0)
Imports:	Matrix, ncvreg, parallel, doParallel, glmnet, ggplot2, reshape2, grid, mvtnorm, picasso, corpcor
Suggests:	knitr, rmarkdown, testthat
Published:	2021-04-18
Author:	Simone Vazzoler [aut, cre]
Maintainer:	Simone Vazzoler <svazzole at gmail.com>
BugReports:	https://github.com/svazzole/sparsevar
License:	GPL-2
URL:	https://github.com/svazzole/sparsevar
NeedsCompilation:	no
Materials:	README NEWS
In views:	TimeSeries
CRAN checks:	sparsevar results

Documentation:

Reference manual:	sparsevar.pdf
Vignettes:	Using sparsevar

Downloads:

Package source:	sparsevar_0.1.0.tar.gz
Windows binaries:	r-devel: sparsevar_0.1.0.zip, r-release: sparsevar_0.1.0.zip, r-oldrel: sparsevar_0.1.0.zip
macOS binaries:	r-release (arm64): sparsevar_0.1.0.tgz, r-oldrel (arm64): sparsevar_0.1.0.tgz, r-release (x86_64): sparsevar_0.1.0.tgz, r-oldrel (x86_64): sparsevar_0.1.0.tgz
Old sources:	sparsevar archive

Reverse dependencies:

Reverse imports:	LinearDetect, VARDetect
Reverse suggests:	fsMTS

Linking:

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