[R] dse VAR models

From: Samuel Kemp <sam.kemp2_at_ntlworld.com>
Date: Wed 18 May 2005 - 23:56:11 EST


Can anyone tell me how to construct a simple VAR(1) time series with two variables using the dse package? I would like to end up with two time series

y_1t = \phi_11 y_1,t-1 + \phi_12 y_2,t-1 + e_1t y_2t = \phi_21 y_1,t-1 + \phi_22 y_2,t-1 + e_2t

Best regards,


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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Thu May 19 00:01:15 2005

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