Is coef() method return the best estimated beta? about bigvar

[wbnicholson]

Thank you for the question. Both of these approaches are providing the coefficient matrix with the "best" lambda using all available data. The coefficients are slightly different because the result from cv.BigVAR uses the coefficient matrix from the previous iteration as a "warm start." However, the predictions generated are extremely similar:
abs(predict(results) - coef2%*%results@Zvals)

If you want to achieve the same results in both approaches or are more generally interested in support recovery. I would suggest decreasing the optimizer tolerance using the parameter tol:

mod1<- constructModel(Y,p=4,"Basic",gran=c(150,10),h=1,cv="Rolling",verbose=FALSE,IC=TRUE,model.controls=list(intercept=TRUE,tol=1e-6))
model2=BigVAR.fit(Y,p=4,"Basic",lambda=best_lambda,intercept=TRUE, tol=1e-6)