varhi

R code for variable selection and dimension reduction of time series data using vector autoregression.

R Script

VarhiScript_QWI.r provides analysis for the paper "Variable targeting and reduction in large vector autoregressions with applications to workforce indicators", Journal of Applied Statistics.

main functions

• varhi.getaux.r
• varhi.build.r
• varhi.refine.r
• varhi.fitmodel.r
• varhi.checkmodel.r
• varhi.foreval.r
• varhi.forecomp.r
• varhi.lasso.r
• varhi.genvar.r
• varhi.select.r

secondary functions

• specFact.r
• specFactmvar.r
• VARMAauto.r
• autoVARMA.r
• VAR2Wold.r
• getGUCD.r
• spec.ridge.r

data sets

• gdpur_data.dat
• qwiEmp.dat
• qwiHires.dat
• qwiSeps.dat
• qwiJC.dat
• qwiJD.dat
• qwiEarn.dat