[R] Constructing a VAR model using dse

[Wolfgang Abele]

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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!

Wolfgang
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