Package: desla 0.3.0

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:Robert Adamek [cre, aut], Stephan Smeekes [aut], Ines Wilms [aut]

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Peer review:

Bug tracker:https://github.com/robertadamek/desla/issues

On CRAN:

11 exports 8 stars 1.47 score 7 dependencies 9 scripts 350 downloads

Last updated 1 years agofrom:be3add9817. Checks:OK: 9. Indexed: yes.

Exports:coef.deslaconfint.deslacreate_state_dummiescreate_state_dummies_from_datamatrixcreate_state_dummies_from_vectordeslaHDLPplot.hdlpprint.deslaprint.summary.deslasummary.desla

Dependencies:parallellyrbibutilsRcppRcppArmadilloRcppProgressRdpacksitmo