Hi,
I would like to estimate a VAR(5) model, but including lags T-1, T-7, T-14,
T-21 and T-28 instead of the usual T-1, T-2, T-3, T-4, T-5.
But it seems I cannot accomplish this by using the below function.
VAR(y, p = 1, type = c("const", "trend", "both", "none"),
season = NULL, exogen = NULL, lag.max = NULL,
ic = c("AIC", "HQ", "SC", "FPE"))
Does there exist a function to do this of what code could I use instead?
Hope you can help me out!
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