sparsevar
Sparse VAR (Vector Autoregression) / VECM (Vector Error Correction Model) Estimation
v1.0.0
·
Feb 4, 2026
·
GPL-2
Description
A wrapper for sparse VAR (Vector Autoregression) and VECM (Vector Error Correction Model) 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 Basu and Michailidis (2015) <doi:10.1214/15-AOS1315>.
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| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check History
OK 13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
Dependency Network
Version History
new
1.0.0
Mar 10, 2026
new
0.0.3
May 3, 2016