Package: desla 0.3.0
Robert Adamek
desla: Desparsified Lasso Inference for Time Series
Calculates the desparsified lasso as originally introduced in van de Geer et al. (2014) <doi:10.1214/14-AOS1221>, and provides inference suitable for high-dimensional time series, based on the long run covariance estimator in Adamek et al. (2020) <arxiv:2007.10952>. Also estimates high-dimensional local projections by the desparsified lasso, as described in Adamek et al. (2022) <arxiv:2209.03218>.
Authors:
desla_0.3.0.tar.gz
desla_0.3.0.tar.gz(r-4.5-noble)desla_0.3.0.tar.gz(r-4.4-noble)
desla_0.3.0.tgz(r-4.4-emscripten)desla_0.3.0.tgz(r-4.3-emscripten)
desla.pdf |desla.html✨
desla/json (API)
NEWS
| # Install 'desla' in R: |
| install.packages('desla', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/robertadamek/desla/issues
Last updated 1 years agofrom:ac01ba8711. Checks:OK: 2. Indexed: no.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 27 2024 |
| R-4.5-linux-x86_64 | OK | Nov 27 2024 |
Exports:coef.deslaconfint.deslacreate_state_dummiescreate_state_dummies_from_datamatrixcreate_state_dummies_from_vectordeslaHDLPplot.hdlpprint.deslaprint.summary.deslasummary.desla
Dependencies:parallellyrbibutilsRcppRcppArmadilloRcppProgressRdpacksitmo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Create State Dummies | create_state_dummies |
| Desparsified lasso | desla |
| State Dependent High-Dimensional Local Projection | HDLP |
| Plot Impulse Responses obtained from HDLP. | plot.hdlp |
