sparsevar (Q43165)
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Sparse VAR (Vector Autoregression) / VECM (Vector Error Correction Model) Estimation
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | sparsevar |
Sparse VAR (Vector Autoregression) / VECM (Vector Error Correction Model) Estimation |
Statements
4 February 2026
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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>.
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