[R] Need help to estimate the Coef matrices in mAr

Spencer Graves spencer.graves at pdf.com
Mon Sep 4 08:28:22 CEST 2006

```      Have you tried 'RSiteSearch("multivariate autoregression",
"functions")'?  This produced 14 hits for me just now, the first of
which mentions a package 'MSBVAR'.  Have you looked at that?

If that failed, I don't think it would be too hard to modify
'mAr.est' to do what you want.  If it were my problem, I might a local
copy of the function, then add an argument accepting a 2 or
3-dimensional array with numbers for AR coefficients to be fixed and NAs
for the coefficients.  Then I'd use 'debug' to walk through the function
line by line until I figured out how to modify the function to do what I
wanted.  I haven't checked all the details, so I don't know for sure if
this would work, but the function contains a line 'R = qr.R(qr((rbind(K,
diag(scale)))), complete = TRUE)' which I would start by decomposing,
possibly starting as follows:

Z <-     rbind(K, diag(scale)

I'd figure out how the different columns of Z relate to my problem, then
modify it appropriately to get what I wanted.

Another alternative would be to program it from scratch using
something like 'optim' to minimize the sum of squares of residuals over
the free parameters in my AR matrices.   I'm confident I could make this
work, even if the I somehow could not get it with either of the other two.

There may be something else  better, e.g., a Kalman filter
representation, but I can't think how to do that off the top if my head.

Hope this helps.
Spencer Graves

Arun Kumar Saha wrote:
> Dear R users,
>
> I am using mAr package to fit a Vector autoregressive model to my data. But
> here I want to put some predetermined values for some elements in
> coefficient matrix that mAr.est going to estimate. For example if p=3 then I
> want to put A3[1,3] = 0 and keep rest of the elements of coefficient
> matrices to be determined by mAr.est.
>
> Can anyone please tell me how can I do that?
>
> Sincerely yours,
> Arun
>
> 	[[alternative HTML version deleted]]
>
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