Tools for modeling sparse high-dimensional multivariate time series
Note: This package utilizes C++11, so it requires a compiler with C++11 support (which should include most modern compilers) and a later version of R (version 3.1 is the oldest that I can confirm works).
To install the development version of BigVAR, after installing the devtools package, run the following commands
The stable version is available on cran.
If you experience any bugs or have feature requests, contact me at email@example.com.