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coef
2012 Mar 01
1
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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