[R] dse VAR models

Paul Gilbert pgilbert at bank-banque-canada.ca
Thu May 19 18:34:29 CEST 2005

There are examples of this in the User's Guide, which gets installed  
under your R library as dse1/doc/dse-guide.pdf. There is lots of other 
information in the guide that you will probably find useful too.

Paul Gilbert

Samuel Kemp wrote:

> Hi,
> 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,
> Sam.
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide! 
> http://www.R-project.org/posting-guide.html

More information about the R-help mailing list