decomposePi

vecm

<p>options for the function (TODO: specify)</p>

<p>A function to estimate a (possibly big) multivariate VECM time series
using penalized least squares methods, such as ENET, SCAD or MC+.</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

decomposePi: Decompose Pi VECM matrix

Description

Usage

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