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
Vars package - specification of VAR
2 messages · Bernd Dittmann, Pfaff, Bernhard Dr.
Hello Bernd, by definition, a VAR does only include **lagged endogenous** variables. You might want consider SVAR() contained in the same package, or fit a VECM (see CRAN package 'urca'). Best, Bernhard
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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