R help - Mar 2012 - Simulate values from VAR

Folks,
  What is the best way to simulate values from a fitted "VAR {vars}"
model.

Also I have tried to use SVAR for a cointegration fit of y~x (just two
univariate time-series) but I can't figure out how to set up the
"A" matrix so that x_t can be used as a contemporaneous predictor of
y_t.

Thanks much for your time,
KW

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Hello Keith,

see ?Acoef for retrieving the coefficients. Incidentally, in the package dse
simulation methods are made available.

Best,
Bernhard


Dr. Bernhard Pfaff
Director
Global Asset Allocation

Invesco Asset Management Deutschland GmbH
An der Welle 5
D-60322 Frankfurt am Main

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