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

herrdittmann at yahoo.co.uk
2009-08-15T13:46:56Z

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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