[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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