[R] Vars package - specification of VAR

herrdittmann at yahoo.co.uk herrdittmann at yahoo.co.uk
Sun Dec 7 17:20:39 CET 2008

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) + ...

The types available in function VAR() allow for seasonal dummies, time trends and constant term.

But the terms


always seem to be excluded by default, thus only lagged variables enter the right side.

How can I specify VAR() such that a1*y(t) and a1*x(t) are included? 
Or would I have to estimate with lm() instead?

Many thanks in advance,


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