R help - Oct 2003 - subset VAR time series models

Dear R user,

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?

Thank you very much!
Harald

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On Sat, Oct 04, 2003 at 05:29:09PM +0200, Harald Bartel
wrote:
> 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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