Re: [R] Vars package - specification of VAR

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".

[R] Vars package - specification of VAR

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) + .