var_mcp: VAR MCP
In sparsevar: Sparse VAR (Vector Autoregression) / VECM (Vector Error Correction Model) Estimation
var_mcp R Documentation
VAR MCP
Description
Estimate VAR using MCP penalty
Usage
var_mcp(data, p, lambdas, opt)
Arguments
data
the data
p
the order of the VAR
lambdas
a vector containing the lambdas to be used in the fit
opt
a list containing the options
Value
An ncvreg object containing the fitted model.
sparsevar documentation built on Feb. 5, 2026, 1:07 a.m.
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| var_mcp | R Documentation |
VAR MCP
Description
Estimate VAR using MCP penalty
Usage
var_mcp(data, p, lambdas, opt)
Arguments
data |
the data |
p |
the order of the VAR |
lambdas |
a vector containing the lambdas to be used in the fit |
opt |
a list containing the options |
Value
An ncvreg object containing the fitted model.
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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