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BigVAR (version 1.1.2)

Dimension Reduction Methods for Multivariate Time Series

Description

Estimates VAR and VARX models with Structured Penalties using the methods developed by Nicholson et al (2017) and Nicholson et al (2020) .

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Version

Install

install.packages('BigVAR')

Monthly Downloads

550

Version

1.1.2

License

GPL (>= 2)

Issues

20

Pull Requests

1

Stars

57

Forks

17

Maintainer

Will Nicholson

Last Published

January 9th, 2023

Functions in BigVAR (1.1.2)

VARXFit

Fit a VAR or VARX model by least squares
plot.BigVAR

Plot a BigVAR object
cv.BigVAR

Cross Validation for BigVAR
VARXLagCons

Construct a VAR or VARX lag matrix
VARXForecastEval

Evaluate forecasts from a VAR or VARX with lag orders selected by AIC/BIC
show.BigVAR

Default show method for an object of class BigVAR
Y

Simulated Multivariate Time Series
constructModel

Construct an object of class BigVAR
VarptoVar1MC

Converts a VAR coefficient matrix of order p to multiple companion form
show

Default show method for an object of class BigVAR.results
predict

Forecast using a BigVAR.results object
SparsityPlot.BigVAR.results

Sparsity Plot of a BigVAR.results object
PredictVARX

One-step ahead predictions for VARX models
coef

Default coef method BigVAR-results, returns the last coefficient matrix from the evaluation period
plot

Plot an object of class BigVAR.results
BigVAR.fit

Simple function to fit BigVAR model with fixed penalty parameter
BigVAR.intermediate

BigVAR.intermediate This class contains the in-sample results for cv.BigVAR
A

Generator for Simulated Multivariate Time Series
BigVAR-class

BigVAR Object Class
BigVAR

Dimension Reduction Methods for Multivariate Time Series.
BigVAR.results

BigVAR.results This class contains the results from cv.BigVAR.
MultVarSim

Simulate a VAR
BigVAR.est

BigVAR Estimation