Re: [R] dse VAR models

From: Paul Gilbert <pgilbert_at_bank-banque-canada.ca>
Date: Fri 20 May 2005 - 02:34:29 EST

There are examples of this in the User's Guide, which gets installed under your R library as dse1/doc/dse-guide.pdf. There is lots of other information in the guide that you will probably find useful too.

Paul Gilbert

Samuel Kemp wrote:

> Hi,
>
> 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,
>
> Sam.
>
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R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Fri May 20 02:42:54 2005

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