decomposePi {sparsevar} | R Documentation |
A function to estimate a (possibly big) multivariate VECM time series using penalized least squares methods, such as ENET, SCAD or MC+.
decomposePi(vecm, rk, ...)
vecm |
the VECM object |
rk |
rank |
... |
options for the function (TODO: specify) |
alpha
beta