companion_var

Build the VAR(1) representation of a VAR(p) process

A wrapper for sparse VAR (Vector Autoregression) and
VECM (Vector Error Correction Model) 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 Basu and Michailidis (2015)
<doi:10.1214/15-AOS1315>.

Simone Vazzoler

sparsevar

Sparse VAR (Vector Autoregression) / VECM (Vector Error
Correction Model) Estimation

companion_var function

<dl><dt>v</dt>
<dd>the VAR object as from <code>fitVAR</code> or <code>simulateVAR</code></dd></dl>

Arguments

Companion VAR — companion_var

<dl>

<dt>v</dt>
<dd>the VAR object as from <code>fitVAR</code> or <code>simulateVAR</code></dd>

</dl>

companion_var: Companion VAR

Description

Usage

Value

Arguments