# Dimension Reduction Methods for Multivariate Time Series

## Documentation for package ‘BigVAR’ version 1.1.5

- DESCRIPTION file.
- User guides, package vignettes and other documentation.
- Package NEWS.

## Help Pages

A | Generator for Simulated Multivariate Time Series
BigVAR | Dimension Reduction Methods for Multivariate Time Series.
BigVAR-class | BigVAR Object Class
BigVAR.est | BigVAR Estimation
BigVAR.est-method | BigVAR Estimation
BigVAR.fit | Simple function to fit BigVAR model with fixed penalty parameter
BigVAR.intermediate | BigVAR.intermediate This class contains the in-sample results for cv.BigVAR
BigVAR.intermediate-class | BigVAR.intermediate This class contains the in-sample results for cv.BigVAR
BigVAR.results | BigVAR.results This class contains the results from cv.BigVAR.
BigVAR.results-class | BigVAR.results This class contains the results from cv.BigVAR.
coef | Default coef method BigVAR-results, returns the last coefficient matrix from the evaluation period
coef-method | Default coef method BigVAR-results, returns the last coefficient matrix from the evaluation period
coef-methods | Default coef method BigVAR-results, returns the last coefficient matrix from the evaluation period
constructModel | Construct an object of class BigVAR
CPI | US Consumer Price Index
cv.BigVAR | Cross Validation for BigVAR
cv.BigVAR-method | Cross Validation for BigVAR
FFR | US Federal Funds Rate
GDP | US Gross Domestic Product
M1 | US M1
MultVarSim | Simulate a VAR
plot | Plot an object of class BigVAR.results
plot-method | Plot an object of class BigVAR.results
plot-method | Plot a BigVAR object
plot-methods | Plot an object of class BigVAR.results
plot.BigVAR | Plot a BigVAR object
predict | Forecast using a BigVAR.results object
predict-method | Forecast using a BigVAR.results object
PredictVARX | One-step ahead predictions for VARX models
show | Default show method for an object of class BigVAR.results
show-method | Default show method for an object of class BigVAR.results
show-method | Default show method for an object of class BigVAR
show.BigVAR | Default show method for an object of class BigVAR
SparsityPlot.BigVAR.results | Sparsity Plot of a BigVAR.results object
SparsityPlot.BigVAR.results-method | Sparsity Plot of a BigVAR.results object
VarptoVar1MC | Converts a VAR coefficient matrix of order p to multiple companion form
VARXFit | Fit a VAR or VARX model by least squares
VARXForecastEval | Evaluate forecasts from a VAR or VARX with lag orders selected by AIC/BIC
VARXLagCons | Construct a VAR or VARX lag matrix
Y | Simulated Multivariate Time Series
Y1 | Example US quarterly macroeconomic data