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>.
| Version: | 0.2.0 |
| Imports: | Rcpp, Rdpack, stats, parallelly |
| LinkingTo: | Rcpp, RcppArmadillo, RcppProgress |
| Suggests: | ggplot2 |
| Published: | 2022-09-23 |
| Author: | Robert Adamek [cre, aut], Stephan Smeekes [aut], Ines Wilms [aut] |
| Maintainer: | Robert Adamek <robertadamek94 at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | yes |
| Materials: | README NEWS |
| CRAN checks: | desla results |
| Reference manual: | desla.pdf |
| Package source: | desla_0.2.0.tar.gz |
| Windows binaries: | r-devel: desla_0.2.0.zip, r-release: desla_0.2.0.zip, r-oldrel: desla_0.2.0.zip |
| macOS binaries: | r-release (arm64): desla_0.2.0.tgz, r-oldrel (arm64): desla_0.2.0.tgz, r-release (x86_64): desla_0.2.0.tgz, r-oldrel (x86_64): desla_0.2.0.tgz |
| Old sources: | desla archive |
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