[R] dse VAR models

Samuel Kemp sam.kemp2 at ntlworld.com
Wed May 18 15:56:11 CEST 2005


Can anyone tell me how to construct a simple VAR(1) time series with two 
variables using the dse package? I would like to end up with two time series

y_1t = \phi_11 y_1,t-1 + \phi_12 y_2,t-1 + e_1t
y_2t = \phi_21 y_1,t-1 + \phi_22 y_2,t-1 + e_2t

Best regards,


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