Description Usage Arguments Value
A function to estimate a (possibly big) multivariate VECM time series using penalized least squares methods, such as ENET, SCAD or MC+.
1 |
data |
the data from the time series: variables in columns and observations in rows |
p |
order of the VECM model |
penalty |
the penalty function to use. Possible values are |
method |
|
logScale |
should the function consider the |
... |
options for the function (TODO: specify) |
Pi the matrix Pi
for the VECM model
G the list (of length p-1
) of the estimated matrices of the process
fit the results of the penalized LS estimation
mse the mean square error of the cross validation
time elapsed time for the estimation
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