Dirk Eddelbuettel wrote:
On Sat, Oct 04, 2003 at 05:29:09PM +0200, Harald Bartel wrote:dse has some tools that might help you do this. If the constaints are very simple (certain parameters set equal to certain values) then it is straight forward in dse. Otherwise there will be some work involved.
I would like to estimate a multivariate VAR model (vector autoregressive model) with arbitrary individual linear parameter constraints. So far I used the "ar" command from package ts for unrestricted models. Unfortunately, this command does not offer the possibility to estimate subset VAR models.
Is there a package or command that I can use?
No, I don't think so (though it sometimes hard to keep up with the growth in the CRAN archive). Paul Gilbert's dse package may be the closest.
But contributions are certainly welcome, it would be nice to have a VAR package available on CRAN.
Dirk
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