[R] Constructing a VAR model using dse

Wolfgang Abele wolfgang-abele at web.de
Wed Aug 4 13:16:01 CEST 2004

Content-Type: text/plain; charset="iso-8859-1"
Content-Transfer-Encoding: 7bit
Received-SPF: none (hypatia: domain of wolfgang-abele at web.de does not designate permitted sender hosts)
X-Virus-Scanned: by amavisd-new at stat.math.ethz.ch
X-Spam-Checker-Version: SpamAssassin 2.63 (2004-01-11) on hypatia.math.ethz.ch
X-Spam-Status: No, hits=0.0 required=5.0 tests=BAYES_50 autolearn=no version=2.63

Hi everybody,

I'm trying to construct a VAR model where the output variables can influence each other in the same time period, for example:

x1_t = ax1_t-1 + bx2_t-1 + e1
x2_t = cx1_t + dx2_t-1 + e2

So x2_t is influenced by x1_t.

Does anybody know how to construct such a model using the dse package?

If I write AX = ... I know I could get rid of the A matrix by multiplying both sides with the inverse matrix A^(-1). Does this method always work or is it restricted to certain cases of the covariance matrix E?

Thanks a lot for your help!

WEB.DE Video-Mail - Sagen Sie mehr mit bewegten Bildern

More information about the R-help mailing list