[R] Vars package - specification of VAR
herrdittmann at yahoo.co.uk
herrdittmann at yahoo.co.uk
Sun Dec 7 17:20:39 CET 2008
Hi useRs,
Been estimating a VAR with two variables, using VAR() of the package "vars".
Perhaps I am missing something, but how can I include the present time t variables, i.e. for the set of equations to be:
x(t) = a1*y(t) + a2*y(t-1) + a3*x(t-1) + ...
Y(t) = a1*x(t) + a2*x(t-1) + a3*y(t-1) + ...
The types available in function VAR() allow for seasonal dummies, time trends and constant term.
But the terms
a1*y(t)
a1*x(t)
always seem to be excluded by default, thus only lagged variables enter the right side.
How can I specify VAR() such that a1*y(t) and a1*x(t) are included?
Or would I have to estimate with lm() instead?
Many thanks in advance,
Bernd
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