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]] > > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html