[R] R equivalent of the VAR function in S+Finmetrics

Leeds, Mark (IED) Mark.Leeds at morganstanley.com
Thu Feb 22 22:07:05 CET 2007

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

This is not an offer (or solicitation of an offer) to buy/se...{{dropped}}

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