Select the Lasso Estimates from the Grid Search

Select the Lasso Estimates from the Grid Search

Usage

SelectVARLasso(search, crit = "ebic")

Arguments

search

Object. Output of the SearchVARLasso() function.

crit

Character string. Information criteria to use. Valid values include "aic", "bic", and "ebic".

Value

Returns the Lasso estimates of autoregression and cross regression coefficients.

See also

Other Simulation of Autoregressive Data Functions: BootCI(), BootSE(), SimVARExo(), SimVAR(), YXExo(), YX()

Author

Ivan Jacob Agaloos Pesigan

Examples

YStd <- StdMat(dat_p2_yx$Y)
XStd <- StdMat(dat_p2_yx$X[, -1])
lambdas <- 10^seq(-5, 5, length.out = 100)
search <- SearchVARLasso(
  YStd = YStd, XStd = XStd, lambdas = lambdas,
  max_iter = 10000, tol = 1e-5
)
SelectVARLasso(search, crit = "ebic")
#>           [,1]      [,2]      [,3]       [,4]      [,5]      [,6]
#> [1,] 0.3440823 0.0000000 0.0000000 0.08601767 0.0000000 0.0000000
#> [2,] 0.0000000 0.4580172 0.0000000 0.00000000 0.2130337 0.0000000
#> [3,] 0.0000000 0.0000000 0.5889874 0.00000000 0.0000000 0.2746474
#> attr(,"lambda")
#> [1] 73.90722
#> attr(,"aic")
#> [1] 495.0721
#> attr(,"bic")
#> [1] 524.5066
#> attr(,"ebic")
#> [1] 544.44