var_scad: VAR SCAD

In sparsevar: Sparse VAR (Vector Autoregression) / VECM (Vector Error Correction Model) Estimation

VAR SCAD

Description

Estimate VAR using SCAD penalty

Usage

var_scad(data, p, lambdas, opt, penalty)

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
penalty	a string "SCAD" or something else

Value

An ncvreg object containing the fitted model.

sparsevar documentation built on Feb. 5, 2026, 1:07 a.m.