Displaying 2 results from an estimated 2 matches for "estmethod".
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2009 Oct 12
1
Help Error
...nt to ask , how I can still continue the program even though there is an error comment?
var=VAR(Canada,p=3,type="const")
for (j in 1:nrow(com))
{
mat=ma
{
for (i in 1:ncol(com))
{
y=which(mat==com[j,i])
mat[y]=NA
}
z=which(mat!=0)
mat[z]=0
hitt=SVAR(var , estmethod = "scoring", Amat = mat, Bmat = NULL,max.iter = 100, maxls = 1000, conv.crit = 1.0e-8)
hit[j]=hitt$LR$statistic
}
}
There will be an error comment,e.g. : Error in solve.default(BinvA) :
Lapack routine dgesv: system is exactly singular"
But I still want to continue to co...
2014 Jun 19
1
Restrict a SVAR A-Model on Matrix A and Variance-Covariance-Matrix
...that I don't know how to implement this
Variance-Covariance-Matrix within R and {vars}.
My Code so far is:
# Prediction SVAR - A-Model (B-Matrix = NULL)
# restrictions:
# 1) Amat = A_Matrix
# 2) ????
VAR.est <- VAR(data.ts, p = 4, type = "none")
SVAR.A.est <- SVAR(x=VAR.est, estmethod = "direct", Amat = A_Matrix ,
Bmat = NULL, hessian = TRUE, lrtest = TRUE)
#--------------------------------------------------------------------
I know, that {vars} restrict the Variance-Covariance-Matrix by default to an
identity-matrix but I wondered if I can't...