sparsevar swMATH ID: 31454 Software Authors: Simone Vazzoler Description: R package sparsevar: Sparse VAR/VECM Models Estimation. A wrapper for sparse VAR/VECM 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 Sumanta Basu and George Michailidis <doi:10.1214/15-AOS1315>. Homepage: https://cran.r-project.org/web/packages/sparsevar/index.html Source Code: https://github.com/cran/sparsevar Dependencies: R Related Software: R; mgm; igraph; nets; forecast; bigtime; LSVAR; fnets; BigVAR; fields; SparseTSCGM; mlVAR; graphicalVAR; gimme; vars; autovarCore; tnam; networkTomography; NetOrigin; hybridModels Cited in: 1 Publication Cited by 3 Authors 1 Guibert, Quentin 1 Lopez, Olivier 1 Piette, Pierrick Cited in 1 Serial 1 Insurance Mathematics & Economics Cited in 2 Fields 1 Statistics (62-XX) 1 Game theory, economics, finance, and other social and behavioral sciences (91-XX) Citations by Year