Fixing AR coefficients in VAR model
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
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