[R] Need help to estimate the Coef matrices in mAr

[Spencer Graves]

      I'm sorry, but I can't follow what you are asking.  If you'd like 
more help, please provide commented, minimal, self-contained, 
reproducible code, as suggested in the posting guide 
"www.R-project.org/posting-guide.html". 
<http://www.R-project.org/posting-guide.html>  Please include a minimal 
data set, e.g., 10 simulated observations on 2 variables, with comments 
describing what you tried and what you don't understand about it. 

      Hope this helps. 
      Spencer Graves

Arun Kumar Saha wrote:
>
> 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* <spencer.graves at pdf.com 
> <mailto:spencer.graves at pdf.com>> 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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>     > 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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