quadVAR

MaRDI QIDQ7385871CRANFDO

Authors Jingmeng Cui

Last update 11 February 2025

Copyright license GNU General Public License

Software version identifier 0.1.2

Description

Estimate quadratic vector autoregression models with the strong hierarchy using the Regularization Algorithm under Marginality Principle (RAMP) by Hao et al. (2018) <doi:10.1080/01621459.2016.1264956>, compare the performance with linear models, and construct networks with partial derivatives.

Cites work

• Model selection for high-dimensional quadratic regression via regularization

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