Sparse VAR (Vector Autoregression) / VECM (Vector Error Correction Model) Estimation R package sparsevar version 1.0.0 A wrapper for sparse VAR (Vector Autoregression) and VECM (Vector Error Correction Model) time series models estimation using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped Absolute Deviation) and MCP (Minimax Concave Penalty). Based on the work of Basu and Michailidis (2015) <doi:10.1214/15-AOS1315>. Software Depends: R (>= 4.5.0) Imports: Matrix, ncvreg, parallel, doParallel, glmnet, ggplot2, reshape2, grid, mvtnorm, corpcor, checkmate, rlang, Suggests: knitr, rmarkdown, testthat, Simone Vazzoler <svazzole@gmail.com> Comprehensive R Archive Network (CRAN) Simone Vazzoler [aut, cre] GPL-2 2026-02-04 application/tgz https://CRAN.R-project.org/package=sparsevar doi:10.32614/CRAN.package.sparsevar