Megh Dal
2008-Mar-24 06:08 UTC
[R] Incompleteness (or bug ?) in mAr.est for VAR estimation
Hi all,
I feel there is a incompleteness in mAr.est function in mAr package for VAR
estimation. I does not cheak whether there is multicolinearity in data set. Here
I used mAr.est function for following dataset :
> head(log(data1)
+ )
V1 V2 V3 V4 V5 V6
1 2.859340 3.909620 3.913622 3.913622 3.954699 3.699572
2 2.865624 3.910021 3.901569 3.901569 3.931433 3.708437
3 2.876949 3.912023 3.908617 3.908617 3.943134 3.708437
4 2.873000 3.909620 3.897518 3.897518 3.921973 3.716981
5 2.856470 3.912623 3.875981 3.875981 3.901569 3.716981
6 2.857619 3.915617 3.856087 3.856087 3.884241 3.716981
clearly V3 and V4 are same. However it gives VAR estimate without any problem
whereas EViews notified about this problem.
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