bootstrappedVAR

<p>the VAR object as from fitVAR or simulateVAR</p>

<p>Build the bootstrapped series from the original var</p>

A wrapper for sparse VAR/VECM time series models estimation
using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped
Absolute Deviation) and MCP (Minimax Concave Penalty).
Based on the work of Sumanta Basu and George Michailidis
<doi:10.1214/15-AOS1315>.

Simone Vazzoler

bootstrappedVAR: Bootstrap VAR

Description

Usage

Arguments