Re: [R] Fixing AR coefficients in VAR model

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Fri 10 Feb 2006 - 07:16:07 EST

Hi, Paul:

          Thanks very much. I'd forgotten that.

          Moreover, you provide very nice vignettes.

Daniel C Medina: If you are not familiar with vignettes, you may wish to review "http://finzi.psych.upenn.edu/R/Rhelp02a/archive/67006.html" in addition to the vignette help page.

	  Best Wishes,
	  spencer graves

Paul Gilbert wrote:

> 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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R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Fri Feb 10 09:02:54 2006

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