[R] subset VAR time series models

Harald Bartel harald.bartel at prozentor.de
Sat Oct 4 17:29:09 CEST 2003


Dear R user,

I would like to estimate a multivariate VAR model (vector autoregressive 
model) with arbitrary individual linear parameter constraints. So far I 
used the "ar" command from package ts for unrestricted models. 
Unfortunately, this command does not offer the possibility to estimate 
subset VAR models.

Is there a package or command that I can use?

Thank you very much!
Harald

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