Dimension Reduction Methods for Multivariate Time Series
Estimates VAR and VARX models with structured Lasso Penalties.
BigVAR v 1.0.3 (Release date: 2018-07-22)
- 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