BigVAR (version 1.0)

BigVAR.est: BigVAR Estimation

Description

Fit a BigVAR object with a structured penalty (VARX-L or HVAR).

Usage

BigVAR.est(object)

Arguments

object

BigVAR object created from ConstructModel

Value

• An array of $k \times kp \times n$ or $k\times kp+ms \times n$ coefficient matrices; one for each of the n values of lambda.

Details

Fits HVAR or VARX-L model on a BigVAR object. Does not perform cross-validation. This method allows the user to construct their own penalty parameter selection procedure.

See Also

constructModel, BigVAR.results,cv.BigVAR

Examples

data(Y)
Y=Y[1:100,]
#construct a Basic VAR-L
Model1=constructModel(Y,p=4,struct="Basic",gran=c(50,10))
BigVAR.est(Model1)