Sparse VAR/VECM Models Estimation
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Documentation for package ‘sparsevar’ version 0.1.0
Help Pages
| 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 |
| decomposePi | Decompose Pi VECM matrix |
| errorBandsIRF | Error bands for IRF |
| fitVAR | Multivariate VAR estimation |
| fitVARX | Multivariate VARX 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 |
| multiplot | Multiplots with ggplot |
| plotIRF | IRF plot |
| plotIRFGrid | IRF grid plot |
| plotMatrix | Matrix plot |
| plotVAR | Plot VARs |
| plotVECM | Plot VECMs |
| simulateVAR | VAR simulation |
| simulateVARX | VARX 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 |