Hi, Can anyone tell me how to construct a simple VAR(1) time series with two variables using the dse package? I would like to end up with two time series y_1t = \phi_11 y_1,t-1 + \phi_12 y_2,t-1 + e_1t y_2t = \phi_21 y_1,t-1 + \phi_22 y_2,t-1 + e_2t Best regards, Sam.
There are examples of this in the User's Guide, which gets installed under your R library as dse1/doc/dse-guide.pdf. There is lots of other information in the guide that you will probably find useful too. Paul Gilbert Samuel Kemp wrote:> Hi, > > Can anyone tell me how to construct a simple VAR(1) time series with > two variables using the dse package? I would like to end up with two > time series > > y_1t = \phi_11 y_1,t-1 + \phi_12 y_2,t-1 + e_1t > y_2t = \phi_21 y_1,t-1 + \phi_22 y_2,t-1 + e_2t > > Best regards, > > Sam. > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > R-project.org/posting-guide.html >