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

Reference manual

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1.0.6 by Will Nicholson, a year ago


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

Imported by VIRF.

Suggested by frequencyConnectedness.

See at CRAN