varSCAD function

VAR SCAD

Estimate VAR using SCAD penalty

varSCAD(data, p, lambdas, opt, penalty)

Arguments

• data: the data
• p: the order of the VAR
• lambdas: a vector containing the lambdas to be used in the fit
• opt: a list containing the options
• penalty: a string "SCAD" or something else