[R] subset VAR time series models

Paul Gilbert pgilbert at bank-banque-canada.ca
Tue Oct 7 21:59:31 CEST 2003



Dirk Eddelbuettel wrote:

>On Sat, Oct 04, 2003 at 05:29:09PM +0200, Harald Bartel wrote:
>  
>
>>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?
>>    
>>
>
>No, I don't think so (though it sometimes hard to keep up with the growth in
>the CRAN archive).  Paul Gilbert's dse package may be the closest.
>
dse has some tools that might help you do this. If the constaints are 
very simple (certain parameters set equal to certain values) then it is 
straight forward in dse. Otherwise there will be some work involved.

>
>But contributions are certainly welcome, it would be nice to have a VAR
>package available on CRAN.
>
>Dirk
>
>  
>




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