decomposePi function

Decompose Pi VECM matrix

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, ...)

Arguments

• vecm: the VECM object
• rk: rank
• ...: options for the function (TODO: specify)

Returns

alpha

beta