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b_t
2010 Mar 11
1
VAR with contemporaneous effects
Hi,
I would like to estimate a VAR of the form:
Ay_t = By_t-1 + Cy_t-2 + ... + Dx_t + e_t
Where A is a non-diagonal matrix of coefficients, B and C are matricies of
coefficients and D is a matrix of coefficients for the exogenous variables.
I don't think the package {vars} can do this because I want to include
contemporaneous cross-variable impacts....