Yes I looked into "dse" package. Here I have implemented two approach for simulation like following :
library(dse) A1 <- matrix(rnorm(16),4) A2 <- matrix(rnorm(16),4) mu <- rnorm(4) sigma <- matrix(c(0.006594712, 0.006467731, -0.000254914, 0.005939934, 0.006467731, 0.006654184, -0.000384097, 0.005658247, -0.000254914, -0.000384097, 0.000310294, 4.34141E-05, 0.005939934, 0.005658247, 4.34141E-05, 0.00574024), 4) initial.val <- matrix(c(-0.2347096, -0.1803612, -0.2780356, -0.2154427 , 3.740364, 3.757908, 3.50216 , 3.57783), 2) ##### My approach res <- matrix(NA, 4,4); res[c(1,2),] <- initial.val library(mnormt); shocks <- rmnorm(2, rep(0,4), sigma) for (i in 1:2) { res[i+2,] <- mu + A1%*%res[i+2-1,] + A2%*%res[i+2-2,] + shocks[i,] } res ##### dse approach temp1 <- matrix(t(cbind(diag(4), A1, A2)), ncol = 4, byrow = TRUE) model <- ARMA(A=array(temp1, c(3,4,4)), B=diag(4), TREND=mu) simulate(model, y0=initial.val, sampleT=2, noise=shocks) Ideally last two rows of "res" and simulate() should be exactly same. However that is not what I am getting. Can anyone please tell me whether there is any mistale in any of those approaches? Am I missing somthing? Thanks -- View this message in context: http://n4.nabble.com/Simulation-of-VAR-tp1693295p1694899.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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.