Fixing AR coefficients in VAR model

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Fixing AR coefficients in VAR model

Daniel Medina
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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Re: Fixing AR coefficients in VAR model

Spencer Graves
          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]]
>
> ______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html

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Re: 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]]
>>
>>______________________________________________
>>[hidden email] mailing list
>>https://stat.ethz.ch/mailman/listinfo/r-help
>>PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
>>    
>>
>
>______________________________________________
>[hidden email] mailing list
>https://stat.ethz.ch/mailman/listinfo/r-help
>PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
>  
>
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Re: Fixing AR coefficients in VAR model

Spencer Graves
Hi, Paul:

          Thanks very much.  I'd forgotten that.

          Moreover, you provide very nice vignettes.

Daniel C Medina:  If you are not familiar with vignettes, you may wish
to review "http://finzi.psych.upenn.edu/R/Rhelp02a/archive/67006.html"
in addition to the vignette help page.

          Best Wishes,
          spencer graves

Paul Gilbert wrote:

> 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]]
>>>
>>> ______________________________________________
>>> [hidden email] mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>> PLEASE do read the posting guide!
>>> http://www.R-project.org/posting-guide.html
>>>  
>>
>>
>> ______________________________________________
>> [hidden email] mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide!
>> http://www.R-project.org/posting-guide.html
>>  
>>
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