companionVAR

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

<p>Build the VAR(1) representation of a VAR(p) process</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

companionVAR: Companion VAR

Description

Usage

Arguments