R: Sparse VAR (Vector Autoregression) / VECM (Vector Error Correction Model) Estimation

# Sparse VAR (Vector Autoregression) / VECM (Vector Error Correction Model) Estimation

## Documentation for package ‘sparsevar’ version 1.0.0

- DESCRIPTION file
- User guides, package vignettes and other documentation
- Package NEWS
- Package README

## Help Pages

sparsevar-package | sparsevar: A package to estimate multivariate time series models (such as VAR and VECM), under the sparsity hypothesis.
accuracy | Accuracy metric
bootstrapped_var | Bootstrap VAR
check_impulse_zero | Check Impulse Zero
check_is_var | Check is var
companion_var | Companion VAR
compute_forecasts | Computes forecasts for VARs
create_sparse_matrix | Create Sparse Matrix
decompose_pi | Decompose Pi VECM matrix
error_bands_irf | Error bands for IRF
fit_var | Multivariate VAR estimation
fit_varx | Multivariate VARX estimation
fit_vecm | Multivariate VECM estimation
frob_norm | Frobenius norm of a matrix
impulse_response | Impulse Response Function
inform_crit | Computes information criteria for VARs
l1norm | L1 matrix norm
l2norm | L2 matrix norm
l_infty_norm | L-infinity matrix norm
max_norm | Max-norm of a matrix
multiplot | Multiplots with ggplot
plot_irf | IRF plot
plot_irf_grid | IRF grid plot
plot_matrix | Matrix plot
plot_var | Plot VARs
plot_vecm | Plot VECMs
simulate_var | VAR simulation
simulate_varx | VARX simulation
sparsevar | sparsevar: A package to estimate multivariate time series models (such as VAR and VECM), under the sparsity hypothesis.
spectral_norm | Spectral norm
spectral_radius | Spectral radius
test_granger | Test for Ganger Causality
transform_data | Transform data
true_negative_rate | True Negative Rate
true_positive_rate | True Positive Rate
var_enet | VAR ENET
var_mcp | VAR MCP
var_scad | VAR SCAD