I was looking at the systemfit package and it seems like I could use it
to solve OLS systems (
which is essentially what VARs are ) but the lag length would have to be
known beforehand, I think. Does anyone know
if there is an equivalent of the VAR function in Eric Zivot's
S+Finmetrics package where the lag length can be selected based on
some kind of criterion such as BIC for example. Thanks for any
idea/suggestions.
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