[R] Fixing AR coefficients in VAR model

[Paul Gilbert]

You can do this with dse. See

   require("dse1")
  ?fixConstants

Paul Gilbert

Spencer Graves wrote:

>	  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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>>
>
>______________________________________________
>R-help at stat.math.ethz.ch mailing list
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>
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