Re: [R] Fixing AR coefficients in VAR model

From: Spencer Graves <>
Date: Fri 10 Feb 2006 - 04:14:21 EST

          I know of no existing functions in R that support fitting a multivariate autoregression while fixing some of the parameters.

          Of course, as Simon Blomberg famously said in April 2005, "This is R. There is no if. Only how." [With library(fortunes), try 'fortune("This is R")'.] If I had to do fit a multivariate AR today with some parameters fixed, I might write a function to compute the determinant of the sample covariance matrix, and give it to "optim" or "nlminb".

          I hope someone else will provide us with an easier way.

	  hope this helps,
	  spencer graves

Daniel Medina wrote:

> Dear Colleague,
> I would like to set a few AR coefficients (not order) to zero in the
> multivariate AR function (mAr.est; mAr library); however, the manual for
> this function does not provide this information. I would appreciate any
> suggestions along this line.
> Thankfully yours,
> Daniel C Medina
> [[alternative HTML version deleted]]
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