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

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>.

Version:	1.0.0
Depends:	R (≥ 4.5.0)
Imports:	Matrix, ncvreg, parallel, doParallel, glmnet, ggplot2, reshape2, grid, mvtnorm, corpcor, checkmate, rlang
Suggests:	knitr, rmarkdown, testthat
Published:	2026-02-04
DOI:	10.32614/CRAN.package.sparsevar
Author:	Simone Vazzoler [aut, cre]
Maintainer:	Simone Vazzoler <svazzole at gmail.com>
BugReports:	https://github.com/svazzole/sparsevar/issues
License:	GPL-2
URL:	https://github.com/svazzole/sparsevar
NeedsCompilation:	no
Citation:	sparsevar citation info
Materials:	README, NEWS
CRAN checks:	sparsevar results

Documentation:

Reference manual:	sparsevar.html , sparsevar.pdf
Vignettes:	Using sparsevar (source, R code)

Downloads:

Package source:	sparsevar_1.0.0.tar.gz
Windows binaries:	r-devel: sparsevar_1.0.0.zip, r-release: not available, r-oldrel: not available
macOS binaries:	r-release (arm64): not available, r-oldrel (arm64): not available, r-release (x86_64): sparsevar_1.0.0.tgz, r-oldrel (x86_64): not available
Old sources:	sparsevar archive

Linking:

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