fastVAR

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Documentation for package ‘fastVAR’ version 1.2.1

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fastVAR-package Compute large VAR and VARX models
Canada Canada: Macroeconomic time series
fastVAR Vector Autoregressive Model
fastVARX Vector Autoregressive Model with Exogenous Inputs
VARdiag VAR and VARX Diagnostics
VARlasso Vector Autoregressive Model with Lasso Penalty
VARpredict Prediction with VAR model
VARstep Model Selection for VAR(p)
VARXlasso Vector Autoregressive Model with Exogenous Inputs and Lasso Penalty
VARXpredict Prediction with VARX model
VARXZ Design Matrix for VARX model
VARZ Design Matrix for VAR model