Single-Equation Penalized Error-Correction Selector (SPECS)

Implementation of SPECS, your favourite Single-Equation Penalized Error-Correction Selector developed in Smeekes and Wijler (2020) . SPECS provides a fully automated estimation procedure for large and potentially (co)integrated datasets. The dataset in levels is converted to a conditional error-correction model, either by the user or by means of the functions included in this package, and various specialised forms of penalized regression can be applied to the model. Automated options for initializing and selecting a sequence of penalties, as well as the construction of penalty weights via an initial estimator, are available. Moreover, the user may choose from a number of pre-specified deterministic configurations to further simplify the model building process.


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install.packages("specs")

0.1.1 by Etienne Wijler, 3 months ago


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


Authors: Etienne Wijler [aut, cre] , Stephan Smeekes [aut]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports Rcpp

Linking to Rcpp, RcppArmadillo


See at CRAN