Name		Name	Last commit message	Last commit date
.gitignore		.gitignore
ADMM_L2_L1_AB.R		ADMM_L2_L1_AB.R
HD-VECM.Rproj		HD-VECM.Rproj
HD_VECM.pdf		HD_VECM.pdf
README.md		README.md
hierarchical_group.R		hierarchical_group.R
nuclear_norm.R		nuclear_norm.R
nuclear_norm_L1_C.R		nuclear_norm_L1_C.R
nuclear_norm_weighted.R		nuclear_norm_weighted.R
source.R		source.R
source_Rcpp.cpp		source_Rcpp.cpp
sparse_group.R		sparse_group.R
sparse_group_fast.cpp		sparse_group_fast.cpp
testing.R		testing.R

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HD-VECM

This repo implements a new regularized estimator for high-dimensional VECM models.

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This repo implements a new regularized estimator for high-dimensional VECM models.

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