specs: Single-Equation Penalized Error-Correction Selector (SPECS)

Implementation of SPECS, your favourite Single-Equation Penalized Error-Correction Selector developed in Smeekes and Wijler (2021) <doi:10.1016/j.jeconom.2020.07.021>. SPECS provides a fully automated estimation procedure for large and potentially (co)integrated datasets. The dataset in levels is converted to a conditional error-correction model, either by the user or by means of the functions included in this package, and various specialised forms of penalized regression can be applied to the model. Automated options for initializing and selecting a sequence of penalties, as well as the construction of penalty weights via an initial estimator, are available. Moreover, the user may choose from a number of pre-specified deterministic configurations to further simplify the model building process.

Version: 1.0.1
Depends: R (≥ 3.5.0)
Imports: Rcpp
LinkingTo: Rcpp, RcppArmadillo
Published: 2024-02-29
DOI: 10.32614/CRAN.package.specs
Author: Etienne Wijler [aut, cre], Stephan Smeekes ORCID iD [aut]
Maintainer: Etienne Wijler <e.j.j.wijler at vu.nl>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Citation: specs citation info
Materials: README
CRAN checks: specs results


Reference manual: specs.pdf


Package source: specs_1.0.1.tar.gz
Windows binaries: r-devel: specs_1.0.1.zip, r-release: specs_1.0.1.zip, r-oldrel: specs_1.0.1.zip
macOS binaries: r-release (arm64): specs_1.0.1.tgz, r-oldrel (arm64): specs_1.0.1.tgz, r-release (x86_64): specs_1.0.1.tgz, r-oldrel (x86_64): specs_1.0.1.tgz
Old sources: specs archive


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