Dear Ron, have you had a look at the package dse? Here, ARMA models can be specified and simulated. The only exercise left for you, is to transform the VECM coefficients into their level-VAR values.
Best, Bernhard |> -----Original Message----- |> From: r-help-boun...@r-project.org |> [mailto:r-help-boun...@r-project.org] On Behalf Of Ron_M |> Sent: Saturday, March 27, 2010 12:14 PM |> To: r-help@r-project.org |> Subject: [R] Simulation of VAR |> |> |> Dear all, is there any package/function available which simulates a |> co-integrating VAR model once the model parameters are |> input over some |> arbitrary horizon? Please let me know anyone aware of that. |> |> Thanks |> -- |> View this message in context: |> http://n4.nabble.com/Simulation-of-VAR-tp1693295p1693295.html |> Sent from the R help mailing list archive at Nabble.com. |> |> ______________________________________________ |> 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.
