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 > >______________________________________________ >R-help@r-project.org mailing list >https://stat.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide >http://www.R-project.org/posting-guide.html >and provide commented, minimal, self-contained, reproducible code. > ***************************************************************** Confidentiality Note: The information contained in this ...{{dropped:10}} ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
