Subgrouping multi-VAR accommodates both quantitative and qualitative heterogeneity in the estimation of group-, subgroup-, and individual-level effects. Notably, these dynamics are estimated simultaneously using a structured regularization approach.

What's nice about this? The competing penalty terms govern both the sparsity and heterogeneity of the solution. This allows for the flexible approximation of commonly encountered scenarios (e.g., minimal heterogeneity, subgroup-specific heterogeneity, etc.).