Message-ID: <43EB786D.3040806@pdf.com>
Date: 2006-02-09T17:14:21Z
From: Spencer Graves
Subject: Fixing AR coefficients in VAR model
In-Reply-To: <550c175b0602051959m6b5e3496m48f5346326c31e07@mail.gmail.com>
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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