[R] VAR (pckg: vars) and memory problem

Pfaff, Bernhard Dr.
2009-08-17T08:03:03Z

Dear Bernd,

which version of the package vars are you using? Have tried estimating
estimating the VAR first and only? Within the function VAR() the equations are
estimated by lm(). Would you be so kind and send the result of traceback()?

Best,
Bernhard


>-----Urspr?ngliche Nachricht-----
>Von: r-help-bounces at r-project.org
>[mailto:r-help-bounces at r-project.org] Im Auftrag von
>herrdittmann at yahoo.co.uk
>Gesendet: Samstag, 15. August 2009 15:47
>An: r-help at r-project.org
>Betreff: [R] VAR (pckg: vars) and memory problem
>
>Hi all,
>
>When I tried to estimate a VAR (package vars) of a rather
>large dataset with 5 lags:
>
>
>> dim(trial.var)
>[1] 20388???? 2
>
>
>I ran into memory troubles:
>
>
>> summary(VAR(trial.var, type="none", p=5))
>Error: cannot allocate vector of size 3.1 Gb
>In addition: Warning messages:
>1: In diag(resids %*% solve(Sigma) %*% t(resids)) :
>? Reached total allocation of 1535Mb: see help(memory.size)
>2: In diag(resids %*% solve(Sigma) %*% t(resids)) :
>? Reached total allocation of 1535Mb: see help(memory.size)
>3: In diag(resids %*% solve(Sigma) %*% t(resids)) :
>? Reached total allocation of 1535Mb: see help(memory.size)
>4: In diag(resids %*% solve(Sigma) %*% t(resids)) :
>? Reached total allocation of 1535Mb: see help(memory.size)
>
>
>Luckily, I was able to slice and dice my dataset into
>individual days with ca. 3000 lines each and estimated each subset.
>
>Now, I nonetheless would like to run the VAR over the whole set.
>
>Is there any way I can extend the memory used by R? Perhaps
>forcing it? I am running R on a XP box with 1GB RAM.
>
>
>Many thanks for any pointers.
>
>Bernd
>------------------
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