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sparsevar 0.1.0

• Fix bug in plotIRF
• Linted code
• Fixed knitr/markdown/rmarkdown problems as in https://github.com/yihui/knitr/issues/1864

sparsevar 0.0.11

• Added CV on a predefined list of lambdas (thanks to PierrickPiette)

sparsevar 0.0.10

• Added plotVECM function
• Removed plotComparisonVAR (substituted by plotVAR)
• Added the option to generate VARs with given matrices
• Fixed AIC
• Fixed problems with error bands options
• Added tests
• Added the function computeForecasts

sparsevar 0.0.9

• Fast SCAD estimation (using picasso package; works only with SCAD and timeSlice)
• Added function to compute VAR forecasts
• Added information criteria (AIC, Schwartz and Hannan-Quinn)
• Fixed mean estimation for timeSlice

sparsevar 0.0.7

• Major code rewriting
• Remove dependencies from MTS and caret
• Added impulse response error bands (using bootstrap)
• Added plot functions for IRF
• New timeSlice estimation
• Removed repeated cross validation

sparsevar 0.0.6

• Added impulse response function for VAR processes

sparsevar 0.0.5

• Added timeSlice estimation
• Fixed normalization constant in creating sparse var matrix
• Fixed parallel backend in Windows

sparsevar 0.0.4

• Added as output the residuals of the estimation (for estimateVAR)
• Fixed parallel background in LASSO estimation
• Now repeatedCV returns MSE

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.