[R] VAR with excluded lags

gizmo tomasz.kludka at redpointenergy.com
Wed Jun 22 18:25:37 CEST 2011


Hi,

I would like to fit a Vector Auto Regression with lags that are not
consecutive with the vars package (or other if there is one as good). Is it
possible?

For example, rather than having lags 1, 2, 3, 4, 5 have 1, 2, 5.

Thanks. 

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