[R] VAR (pckg: vars) and memory problem

[Pfaff, Bernhard Dr.]

Hello Bernd,

many thanks for providing the details. As you can see from traceback, the warning refers to the calculation of the value of the log-likelihood, which is used in vars:::logLik.varest. I will slice the calculation and hopefully this will resolve the memory problems (update on R-Forge first and then on CRAN). In the meantime, you can use the summary method for lm objects and lapply these:
lapply(foo$varresult, summary)

in order to obtain summary results for the individual equations.


Best,
Bernhard 
 

>-----Ursprüngliche Nachricht-----
>Von: herrdittmann at yahoo.co.uk [mailto:herrdittmann at yahoo.co.uk] 
>Gesendet: Montag, 17. August 2009 18:27
>An: Pfaff, Bernhard Dr.; r-help at r-project.org
>Betreff: Re: AW: [R] VAR (pckg: vars) and memory problem
>
>Dear Bernard, 
>
>
>Please find attached the output of traceback() below for this 
>rather large VAR. I am using vars 1.4-6 at the moment:
>
>
>> dim(var.trial)
>[1] 22367     3  
>
>
>> summary(VAR(var.trial, type="none", p=3))
>Error: cannot allocate vector of size 3.7 GbIn addition: 
>Warning messages:
>1: In diag(resids %*% solve(Sigma) %*% t(resids)) :  Reached 
>total allocation of 1535Mb: see help(memory.size)
>2: In diag(resids %*% solve(Sigma) %*% t(resids)) :  Reached 
>total allocation of 1535Mb: see help(memory.size)
>3: In diag(resids %*% solve(Sigma) %*% t(resids)) :  Reached 
>total allocation of 1535Mb: see help(memory.size)
>4: In diag(resids %*% solve(Sigma) %*% t(resids)) :  Reached 
>total allocation of 1535Mb: see help(memory.size)  
>
>
>> traceback()
>6: diag(resids %*% solve(Sigma) %*% t(resids))5: logLik.varest(object)
>4: logLik(object)
>3: summary.varest(VAR(var.trial, type = "none", p = 3))
>2: summary(VAR(var.trial, type = "none", p = 3))
>1: summary(VAR(var.trial, type = "none", p = 3))  
>
>
>Oddly enough, VAR(...) itself returned the regressors. Am I 
>missing something rather trivial? 
>
>Many thanks in advance and best regards,
>
>Bernd 
>
>------------------
>
>-----Original Message-----
>From: "Pfaff, Bernhard Dr." <Bernhard_Pfaff at fra.invesco.com>
>
>Date: Mon, 17 Aug 2009 09:03:03 
>To: <herrdittmann at yahoo.co.uk>; <r-help at r-project.org>
>Subject: AW: [R] VAR (pckg: vars)  and memory problem
>
>
>Dear Bernd,
>
>which version of the package vars are you using? Have tried 
>estimating estimating the VAR first and only? Within the 
>function VAR() the equations are estimated by lm(). Would you 
>be so kind and send the result of traceback()?
>
>Best,
>Bernhard
> 
>
>>-----Ursprüngliche Nachricht-----
>>Von: r-help-bounces at r-project.org 
>>[mailto:r-help-bounces at r-project.org] Im Auftrag von 
>>herrdittmann at yahoo.co.uk
>>Gesendet: Samstag, 15. August 2009 15:47
>>An: r-help at r-project.org
>>Betreff: [R] VAR (pckg: vars) and memory problem
>>
>>Hi all,
>>
>>When I tried to estimate a VAR (package vars) of a rather 
>>large dataset with 5 lags:
>>
>>
>>> dim(trial.var) 
>>[1] 20388     2 
>>
>>
>>I ran into memory troubles:
>>
>>
>>> summary(VAR(trial.var, type="none", p=5)) 
>>Error: cannot allocate vector of size 3.1 Gb 
>>In addition: Warning messages: 
>>1: In diag(resids %*% solve(Sigma) %*% t(resids)) : 
>>  Reached total allocation of 1535Mb: see help(memory.size) 
>>2: In diag(resids %*% solve(Sigma) %*% t(resids)) : 
>>  Reached total allocation of 1535Mb: see help(memory.size) 
>>3: In diag(resids %*% solve(Sigma) %*% t(resids)) : 
>>  Reached total allocation of 1535Mb: see help(memory.size) 
>>4: In diag(resids %*% solve(Sigma) %*% t(resids)) : 
>>  Reached total allocation of 1535Mb: see help(memory.size) 
>>
>>
>>Luckily, I was able to slice and dice my dataset into 
>>individual days with ca. 3000 lines each and estimated each subset.
>>
>>Now, I nonetheless would like to run the VAR over the whole set.
>>
>>Is there any way I can extend the memory used by R? Perhaps 
>>forcing it? I am running R on a XP box with 1GB RAM. 
>>
>>
>>Many thanks for any pointers.
>>
>>Bernd
>>------------------
>>______________________________________________
>>R-help at r-project.org mailing list
>>https://stat.ethz.ch/mailman/listinfo/r-help
>>PLEASE do read the posting guide 
>>http://www.R-project.org/posting-guide.html
>>and provide commented, minimal, self-contained, reproducible code.
>>
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