LPM (version 3.2)

ar.egls: Subset Autoregressive Model

Description

Estimate VAR(p) model fixing some parameter values to zero

Usage

ar.egls(x, R, order.max , na.action = na.fail, series = NULL, ...)

Value

See ar.ols

Arguments

x

Univariate or multivariate series with nil mean

R

Matrices of parameters selection

order.max

Model order

na.action

Function to be called to handle missing values

series

Names for the series. Defaults to 'deparse(substitute(x))'

...

See ar.ols

Author

Corrado Tallerini

Details

R matrix is a list of p matrices, with p the autoregressive order. In R value '1' allows parameter estimation, '0' fix the parameter value to zero.

References

Grimaldi S. , Serinaldi F. & Tallerini C. (2004) 'Multivariate linear parametric models applied to daily rainfall time series' Mediterranean Storms, 6rd EGU Plinius Conference held in Mediterranean Sea, Italy, October 2004

Lutkepohl, H. (1993) Introduction to Multiple Time Series Analysis 2nd Edition ._ Springer Verlag, NY

Examples

##	S1=matrix(0,3,3)
##	S1[1,1]=1
##	S1[1,2]=1
##	S=list()
##	S[[1]]=S1
##	S[[2]]=S1
##	ar.egls(series.rainfall[,1:3],S,order.max=2)
## --> Apply a Subset VAR(2) model restricted to 4 parameters (position (1,1)
## --> and (1,2) in both matrices) to first 3 series of series.rainfall 
## --> dataset