| decomposePi {sparsevar} | R Documentation |
Decompose Pi VECM matrix
Description
A function to estimate a (possibly big) multivariate VECM time series using penalized least squares methods, such as ENET, SCAD or MC+.
Usage
decomposePi(vecm, rk, ...)
Arguments
vecm |
the VECM object |
rk |
rank |
... |
options for the function (TODO: specify) |
Value
alpha
beta
[Package sparsevar version 0.1.0 Index]