I'm sorry, but I can't follow what you are asking. If you'd like

"www.R-project.org/posting-guide.html".

describing what you tried and what you don't understand about it.

Hope this helps.

>

> Dear Spencer,

>

>

>

> Thank you very much for your attention on my problem. According to

> your advice I did some home work on this problem, but unfortunately I

> could not solve my problem.

>

>

>

>

>

> Suppose I have a dataset of length 300 with 2 variables. And I want to

> fit a VAR model on this of order 2.

>

>

>

> I went through the function mAr.est and got understand that, here 'K'

> is a matrix with (300-2) rows and 7 columns. the first col. consists

> only 1, next two columns consist of lagged values of two variables

> with lag-length 2, next two col. consist of lagged value with lag

> length-1, and next two cols are for lag-length-0.

>

>

>

> Next, they add additional a 7-7 matrix to K. For this matrix diagonal

> elements are the square root of sum of square of elements of K (col.

> wise) and rest of the elements are 0.

>

>

>

> I feel that this matrix, that is added to K, is the key matrix for any

> type of modification that you prescribed. Therefore for experimental

> purpose I put NA against one of its off-diagonal elements. But I got

> error.

>

>

>

> However I cannot understand why they put such figures for diagonal and

> off-diagonal elements of that matrix.

>

>

>

> Can you suggest me any solution more specifically?

>

>

>

>

>

> Thanks and regards,

>

> Arun

>

>

>

> On 9/4/06, *Spencer Graves* <

[hidden email]
> <mailto:

[hidden email]>> wrote:

>

> 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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> >

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> > PLEASE do read the posting guide

>

http://www.R-project.org/posting-guide.html> > and provide commented, minimal, self-contained, reproducible code.

> >

>

>

>

>

> --

> Arun Kumar Saha, M.Sc.[C.U.]

> S T A T I S T I C I A N [Analyst]

> RISK MANAGEMENT DIVISION

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