fitVECM function

Multivariate VECM estimation

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, ...)

Arguments

• data: the data from the time series: variables in columns and observations in rows
• p: order of the VECM model
• penalty: the penalty function to use. Possible values are "ENET", "SCAD" or "MCP"
• method: "cv" or "timeSlice"
• logScale: should the function consider the log of the inputs? By default this is set to TRUE
• ...: options for the function (TODO: specify)

Returns

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