Hi,
I would like to estimate a VAR of the form:
Ay_t = By_t-1 + Cy_t-2 + ... + Dx_t + e_t
Where A is a non-diagonal matrix of coefficients, B and C are matricies of
coefficients and D is a matrix of coefficients for the exogenous variables.
I don't think the package {vars} can do this because I want to include
contemporaneous cross-variable impacts.
So I want y1_t to affect y2_t and I think in {vars} I can only have y1_t-1
affect y2_t.
{vars} will only allow VARs of the form:
y_t = By_t-1 + Cy_t-2 + ... + Dx_t + e_t
Solutions? Maybe another package? Or maybe I'm thinking about this wrong?
(And I know that I have to put constraints on A to get identification - I'm
willing to do that).
Thanks,
Mitch Downey
______________________________________________
[email protected] 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.
