A function to estimate a (possibly big) multivariate VECM time series using penalized least squares methods, such as ENET, SCAD or MC+.
fitVECM(data, p, penalty, method, logScale, ...)the data from the time series: variables in columns and observations in rows
order of the VECM model
the penalty function to use. Possible values are "ENET",
"SCAD" or "MCP"
"cv" or "timeSlice"
should the function consider the log of the inputs? By default
this is set to TRUE
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