sparsevar

R package 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>.

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References in zbMATH (referenced in 1 article )

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  1. Guibert, Quentin; Lopez, Olivier; Piette, Pierrick: Forecasting mortality rate improvements with a high-dimensional VAR (2019)