tslars-package {tslars} | R Documentation |
The tslars packages applies a dynamic variable selection procedure. It is an extension of the LARS algorithm of Efron et al (2004) which is designed for time series analysis. It provides a ranking of the predictors and a selection of which predictors to include in the final model as well as a selection of the appropriate lag length.
Package: | tslars |
Type: | Package |
Version: | 1.0 |
Date: | 2009-02-06 |
License: | gpl |
LazyLoad: | yes |
The most improtant functions are tslars
and tslars.p
.
Sarah Gelper Maintainer: Sarah Gelper <gelper@ese.eur.nl>
Gelper, S. and Croux, C. (2009) Time series least angle regression for selecting predictive economic sentiment series. www.econ.kuleuven.be/sarah.gelper/public