[R] 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]]
> 
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