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

herrdittmann at yahoo.co.uk
2009-08-17T16:26:37Z

Dear Bernard,?


Please find attached the output of traceback() below for this rather large VAR.
I am using vars 1.4-6 at the moment:


> dim(var.trial)
[1] 22367???? 3??


> summary(VAR(var.trial, type="none", p=3))
Error: cannot allocate vector of size 3.7 GbIn 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)??


> traceback()
6: diag(resids %*% solve(Sigma) %*% t(resids))5: logLik.varest(object)
4: logLik(object)
3: summary.varest(VAR(var.trial, type = "none", p = 3))
2: summary(VAR(var.trial, type = "none", p = 3))
1: summary(VAR(var.trial, type = "none", p = 3))??


Oddly enough, VAR(?) itself returned the regressors.?Am I missing something
rather trivial??

Many thanks in advance and best regards,

Bernd

------------------

-----Original Message-----
From: "Pfaff, Bernhard Dr." <Bernhard_Pfaff at fra.invesco.com>

Date: Mon, 17 Aug 2009 09:03:03
To: <herrdittmann at yahoo.co.uk>; <r-help at r-project.org>
Subject: AW: [R] VAR (pckg: vars)  and memory problem


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
>------------------
>______________________________________________
>R-help at r-project.org mailing list
>https://stat.ethz.ch/mailman/listinfo/r-help
>PLEASE do read the posting guide
>http://www.R-project.org/posting-guide.html
>and provide commented, minimal, self-contained, reproducible code.
>
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