Fixing AR coefficients in VAR model

You can do this with dse. See

   require("dse1")
  ?fixConstants

Paul Gilbert

  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]]

______________________________________________
R-help at 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

====================================================================================

La version fran??aise suit le texte anglais.

------------------------------------------------------------------------------------

This email message from the Bank of Canada is given in good faith, and shall not be
binding or construed as constituting any obligation on the part of the Bank.

This email may contain privileged and/or confidential inform...{{dropped}}

Fixing AR coefficients in VAR model

Thread (4 messages)