Re: [R] Fixing AR coefficients in VAR model

From: Paul Gilbert <pgilbert_at_bank-banque-canada.ca>
Date: Fri 10 Feb 2006 - 06:41:19 EST

You can do this with dse. See

   require("dse1")
  ?fixConstants

Paul Gilbert

Spencer Graves wrote:

> 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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>
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>


La version franšaise suit le texte anglais.


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