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A wrapper for sparse VAR (Vector Autoregression) and VECM (Vector Error Correction Model) 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 Basu and Michailidis (2015) <doi:10.1214/15-AOS1315>.
| Version: | 1.0.0 |
| Depends: | R (≥ 4.5.0) |
| Imports: | Matrix, ncvreg, parallel, doParallel, glmnet, ggplot2, reshape2, grid, mvtnorm, corpcor, checkmate, rlang |
| Suggests: | knitr, rmarkdown, testthat |
| Published: | 2026-02-04 |
| DOI: | 10.32614/CRAN.package.sparsevar |
| Author: | Simone Vazzoler [aut, cre] |
| Maintainer: | Simone Vazzoler <svazzole at gmail.com> |
| BugReports: | https://github.com/svazzole/sparsevar/issues |
| License: | GPL-2 |
| URL: | https://github.com/svazzole/sparsevar |
| NeedsCompilation: | no |
| Citation: | sparsevar citation info |
| Materials: | README, NEWS |
| CRAN checks: | sparsevar results |
| Reference manual: | sparsevar.html , sparsevar.pdf |
| Vignettes: |
Using sparsevar (source, R code) |
| Package source: | sparsevar_1.0.0.tar.gz |
| Windows binaries: | r-devel: sparsevar_1.0.0.zip, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): not available, r-oldrel (arm64): not available, r-release (x86_64): sparsevar_1.0.0.tgz, r-oldrel (x86_64): not available |
| Old sources: | sparsevar archive |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.