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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.
Documentation:
Downloads:
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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