decompose_pi: Decompose Pi VECM matrix
In sparsevar: Sparse VAR (Vector Autoregression) / VECM (Vector Error Correction Model) Estimation
decompose_pi 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
decompose_pi(vecm, rk, ...)
Arguments
vecm
the VECM object
rk
rank
...
options for the function (TODO: specify)
Value
alpha
beta
sparsevar documentation built on Feb. 5, 2026, 1:07 a.m.
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| decompose_pi | 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
decompose_pi(vecm, rk, ...)
Arguments
vecm |
the VECM object |
rk |
rank |
... |
options for the function (TODO: specify) |
Value
alpha
beta
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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