Hello Bernd, many thanks for providing the details. As you can see from traceback, the warning refers to the calculation of the value of the log-likelihood, which is used in vars:::logLik.varest. I will slice the calculation and hopefully this will resolve the memory problems (update on R-Forge first and then on CRAN). In the meantime, you can use the summary method for lm objects and lapply these: lapply(foo$varresult, summary)
in order to obtain summary results for the individual equations. Best, Bernhard >-----Ursprüngliche Nachricht----- >Von: herrdittm...@yahoo.co.uk [mailto:herrdittm...@yahoo.co.uk] >Gesendet: Montag, 17. August 2009 18:27 >An: Pfaff, Bernhard Dr.; r-help@r-project.org >Betreff: Re: AW: [R] VAR (pckg: vars) and memory problem > >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_pf...@fra.invesco.com> > >Date: Mon, 17 Aug 2009 09:03:03 >To: <herrdittm...@yahoo.co.uk>; <r-help@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 > > >>-----Ursprüngliche Nachricht----- >>Von: r-help-boun...@r-project.org >>[mailto:r-help-boun...@r-project.org] Im Auftrag von >>herrdittm...@yahoo.co.uk >>Gesendet: Samstag, 15. August 2009 15:47 >>An: r-help@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@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. >> >***************************************************************** >Confidentiality Note: The information contained in this message, >and any attachments, may contain confidential and/or privileged >material. It is intended solely for the person(s) or entity to >which it is addressed. Any review, retransmission, dissemination, >or taking of any action in reliance upon this information by >persons or entities other than the intended recipient(s) is >prohibited. If you received this in error, please contact the >sender and delete the material from any computer. >***************************************************************** > > ______________________________________________ R-help@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.
