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SV edited this page Oct 3, 2019
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Welcome to the sparsevar wiki!
sparsevar is an R package that estimates sparse VAR and VECM model using penalized
least squares methods (PLS): it is possible to use various penalties such as ENET,
SCAD or MC+ penalties. The sparsity parameter can be estimated using cross-validation
or time slicing. When using ENET it is possible to estimate VAR(1) of dimension up
to 200, while when using one of the other two is better not to go beyond 50. When
estimating a VAR(p) model then the limits (for the dimension of the VAR model) are
roughly 200/p and 50/p, respectively.
The author and mantainer of sparsevar package is Simone Vazzoler.
This wiki describes the usage of sparsevar in R.
sparsevar package wiki