[R] Simulation of VAR

Pfaff, Bernhard Dr. Bernhard_Pfaff at fra.invesco.com
Mon Mar 29 10:24:11 CEST 2010

Dear Ron,

have you had a look at the package dse? Here, ARMA models can be
specified and simulated. The only exercise left for you, is to transform
the VECM coefficients into their level-VAR values. 


 |>  -----Original Message-----
 |>  From: r-help-bounces at r-project.org 
 |>  [mailto:r-help-bounces at r-project.org] On Behalf Of Ron_M
 |>  Sent: Saturday, March 27, 2010 12:14 PM
 |>  To: r-help at 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 are 
 |>  input over some
 |>  arbitrary horizon? Please let me know anyone aware of that.
 |>  Thanks
 |>  -- 
 |>  View this message in context: 
 |>  http://n4.nabble.com/Simulation-of-VAR-tp1693295p1693295.html
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