subject:"\[R\] Simulation of VAR"

Re: [R] Simulation of VAR

2010-03-29 Thread Pfaff, Bernhard Dr.

| [mailto:r-help-boun...@r-project.org] On Behalf Of Ron_M | Sent: Saturday, March 27, 2010 12:14 PM | To: r-help@r-project.org | Subject: [R] Simulation of VAR | | | Dear all, is there any package/function available which simulates a | co-integrating VAR model once the model parameters

Re: [R] Simulation of VAR

2010-03-29 Thread Ron_M

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,

[R] Simulation of VAR

2010-03-27 Thread Ron_M

Dear all, is there any package/function available which simulates a co-integrating VAR model once the model parameters are input over some arbitrary horizon? Please let me know anyone aware of that. Thanks -- View this message in context: