Hi,
I would like to estimate a VAR of the form:
Ay_t = By_t-1 + Cy_t-2 + ... + Dx_t + e_t
Where A is a non-diagonal matrix of coefficients, B and C are matricies of
coefficients and D is a matrix of coefficients for the exogenous variables.
I don't think the package {vars} can do this because I want to include
contemporaneous cross-variable impacts.
So I want y1_t to affect y2_t and I think in {vars} I can only have y1_t-1
affect y2_t.
{vars} will only allow VARs of the form:
y_t = By_t-1 + Cy_t-2 + ... + Dx_t + e_t
Solutions? Maybe another package? Or maybe I'm thinking about this wrong?
(And I know that I have to put constraints on A to get identification - I'm
willing to do that).
Thanks,
Mitch Downey
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