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Hi and thanks for this wonderful package, it certainly helps me with my research.
My topic involves dimension reduction in VAR model. So I found this package recently and tried to explore.
While I am experimenting with different structures built in the BigVAR.fit(), I found out that it only returns one coefficient matrix from structures like 'Basic' or 'SCAD'. But When I set the structure to 'Tapered'. It returns ten matrices and I am not sure which one is the coefficient matrix. Attached is a section copied from my console.
> b <- BigVAR.fit(epu,p=1,'Tapered',1e-2)
> dim(b)
[1] 24 25 10
> b <- BigVAR.fit(epu,p=1,'BasicEN',1e-2)
> dim(b)
[1] 24 25 1
> b <- BigVAR.fit(epu,p=1,'SCAD',1e-2)
> dim(b)
[1] 24 25 1
I read the tutorial but didn't find the answer. Does anybody know why 'Tapered' gives a such result? Thanks in advance.
The text was updated successfully, but these errors were encountered:
Hi and thanks for this wonderful package, it certainly helps me with my research.
My topic involves dimension reduction in VAR model. So I found this package recently and tried to explore.
While I am experimenting with different structures built in the
BigVAR.fit()
, I found out that it only returns one coefficient matrix from structures like'Basic'
or'SCAD'
. But When I set the structure to'Tapered'
. It returns ten matrices and I am not sure which one is the coefficient matrix. Attached is a section copied from my console.I read the tutorial but didn't find the answer. Does anybody know why
'Tapered'
gives a such result? Thanks in advance.The text was updated successfully, but these errors were encountered: