Leeds, Mark (IED)
2007-Feb-22 21:07 UTC
[R] R equivalent of the VAR function in S+Finmetrics
I was looking at the systemfit package and it seems like I could use it to solve OLS systems ( which is essentially what VARs are ) but the lag length would have to be known beforehand, I think. Does anyone know if there is an equivalent of the VAR function in Eric Zivot's S+Finmetrics package where the lag length can be selected based on some kind of criterion such as BIC for example. Thanks for any idea/suggestions. -------------------------------------------------------- This is not an offer (or solicitation of an offer) to buy/se...{{dropped}}