BigVAR

Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with structured Lasso Penalties.

News

BigVAR v 1.0.3 (Release date: 2018-07-22)

Changes:

  • Fixed Rcpp conflict due to calling max of a List object.
  • Added support for rolling window estimation
  • Added support for Bayesian VAR method from Banbura et al (2010)
  • Expanded BigVAR results to save all coefficient matrices estimated in evaluation period as well as all predictions

Reference manual

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install.packages("BigVAR")

1.0.4 by Will Nicholson, 2 months ago

http://www.github.com/wbnicholson/BigVAR

Browse source code at https://github.com/cran/BigVAR

Authors: Will Nicholson [cre, aut] , David Matteson [aut] , Jacob Bien [aut]

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Imports MASS, zoo, lattice, Rcpp, stats, utils, grDevices, graphics

Depends on methods

Linking to Rcpp, RcppArmadillo, RcppEigen

System requirements: C++11

Suggested by frequencyConnectedness.

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