dse VAR models
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.
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