Displaying 1 result from an estimated 1 matches for "bx2_t".
Did you mean:
x2_t
2004 Aug 04
1
Constructing a VAR model using dse
...3 (2004-01-11) on hypatia.math.ethz.ch
X-Spam-Level:
X-Spam-Status: No, hits=0.0 required=5.0 tests=BAYES_50 autolearn=no version=2.63
Hi everybody,
I'm trying to construct a VAR model where the output variables can influence each other in the same time period, for example:
x1_t = ax1_t-1 + bx2_t-1 + e1
x2_t = cx1_t + dx2_t-1 + e2
So x2_t is influenced by x1_t.
Does anybody know how to construct such a model using the dse package?
If I write AX = ... I know I could get rid of the A matrix by multiplying both sides with the inverse matrix A^(-1). Does this method always work or is it rest...