GitHub

boostvar: An R package for computing the p-values in high-dimensional vector autoregression

This R package computes the least-squares boosting estimates, standard errors, and p-values for vector autoregression models. This package also offers a function boostls.R to compute the estimates, ...
Analytics India Magazine

Hands-On Tutorial on Vector AutoRegression(VAR) For Time Series Modeling

VAR models are different from univariate autoregressive models because they allow analysis and make predictions on multivariate time series data. Vector autoregression (VAR) is a statistical model for ...
GitHub

Network Informed Restricted Vector Autoregression

This repository contains the code and data used to obtain simulation study and applications results for "NIRVAR: Network Informed Restricted Vector Autoregression ...
IEEE

A Time-Varying Bayesian Compressed Vector Autoregression for Macroeconomic Forecasting

Abstract: This paper presents macroeconomic forecasting by using a time-varying Bayesian compressed vector autoregression approach. We apply a random compression by using projection matrix to randomly ...