Re: [R] vetor autoregressions and BVARs

From: Paul Gilbert <pgilbert_at_bank-banque-canada.ca>
Date: Fri 23 Jul 2004 - 23:45:24 EST

Nirav Mehta wrote:

> I have not been able to find any programs for running vector
> autoregressions with R. I am interested in running Bayesian VARs and
> also running VARs that run all combinations of variables in the vector.

If you mean linear combinations of the variables, you cannot "run" these because there are an infinite number. However, there are several techniques related to PCA that find the the "best" linear combination, according to some criteria. Much of the early development in this area was done by Akaike. Some of these are implemented in the dse bundle of packages and there are examples in the Users' Guide. My favorite is the bft method (but I am biased). Avoid the technique promoted by Aoki as his main theorem has an error and his approach does not work. (He claimed it should only fail occasionally, but it fails often in my experience.)

If you really mean to restrict yourself to VAR models there is a problem. These techniques are typically based on the state space representation. You can find an equivalent ARMA representation, but not necessarily an equivalent VAR representation. Even though you may start with a VAR model you can end up with no (finite) VAR representation.

As for the Bayesian part, I have not worked on that.

Paul Gilbert

> Is anyone currently developing this?
>
> -Nirav Mehta
>
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https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Sat Jul 24 00:05:39 2004

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