[R] VAR with excluded lags

Pfaff, Bernhard Dr. Bernhard_Pfaff at fra.invesco.com
Fri Jun 24 10:46:02 CEST 2011


?restrict 

> -----Ursprüngliche Nachricht-----
> Von: r-help-bounces at r-project.org 
> [mailto:r-help-bounces at r-project.org] Im Auftrag von gizmo
> Gesendet: Mittwoch, 22. Juni 2011 18:26
> An: r-help at r-project.org
> Betreff: [R] VAR with excluded lags
> 
> 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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