[R] vetor autoregressions and BVARs
pgilbert at bank-banque-canada.ca
Fri Jul 23 15:45:24 CEST 2004
Nirav Mehta wrote:
> I have not been able to find any programs for running vector
> autoregressions with R. I am interested in running Bayesian VARs and
> also running VARs that run all combinations of variables in the vector.
If you mean linear combinations of the variables, you cannot "run" these
because there are an infinite number. However, there are several
techniques related to PCA that find the the "best" linear combination,
according to some criteria. Much of the early development in this area
was done by Akaike. Some of these are implemented in the dse bundle of
packages and there are examples in the Users' Guide. My favorite is the
bft method (but I am biased). Avoid the technique promoted by Aoki as
his main theorem has an error and his approach does not work. (He
claimed it should only fail occasionally, but it fails often in my
If you really mean to restrict yourself to VAR models there is a
problem. These techniques are typically based on the state space
representation. You can find an equivalent ARMA representation, but not
necessarily an equivalent VAR representation. Even though you may start
with a VAR model you can end up with no (finite) VAR representation.
As for the Bayesian part, I have not worked on that.
> Is anyone currently developing this?
> -Nirav Mehta
> R-help at stat.math.ethz.ch mailing list
> PLEASE do read the posting guide!
More information about the R-help