Dear Friends, Greetings! I hope all you are safe at this trying time! I have been trying to fit an structural vector autoregression and moving average (SVARMA) model on 3 time series , for example, GDP growth, interest rates, and inflation. I find there are packages to estimate SVAR or VARMA model. However, I am not able to merge SVAR with MA components. SVARMA model offers better way to estimate impulse response with less number of lags as compared to SVAR. It would be of great help if anyone of you can kindly show me the way. Thanking you in advance! Wish everyone a good day! Regards, Debasish Maitra
Debasish Maitra Faculty Indian Institute of Management Indore Indore 453556 [[alternative HTML version deleted]]