search for: cadmus

...ILVA, LUCAS FERREIRA DANTAS, GERLAN LOPES DA COSTA, RAFAELA SOARES DOS ANJOS, JO?O CARLOS MOREIRA DE CARVALHO, DENIS BARROS SILVA, MARIA MICAELE ALVES DE MELO, JOEL FERREIRA MADUREIRA. TAYANE ASSUN??O NEVES, CAMILLA KEILHANY DE SOUSA CAETANO, MAIARA MUSY ARAUJO, IALE NAIANE MARIANO DOS PASSOS, ROAN CADMUS RODRIGUES DAMASCENO. Nova Veneza.

I have a VAR model with five macro-economic variables, y[1], y[2], y[3], y[4], y[5]. They are related to each other in following manner. y[1,t] = alpha[1,0] + beta[1,1, 1]*y[1,t-1]+............+beta[1,1, 12]*y[1,t-12] + beta[1,2, 1]*y[2,t-1]+............+beta[1,2, 12]*y[2,t-12] + e[1,t] y[2,t] = alpha[2,0] + beta[2,2, 1]*y[2,t-1]+............+beta[2,2, 12]*y[2,t-12] + e[2,t] y[3,t] = alpha[3,0]

...ever, in this case the estimator might be asymptotically inefficient. One can use FGLS instead. This is outlined for instance in: Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute. http://cadmus.iue.it/dspace/bitstream/1814/6918/1/ECO-2007-11.pdf Incidentally, you can also use restrict() [OLS-based] in package vars; version 1.3-1 has been uploaded to /incoming on CRAN and it should appear on the mirrors soon. Best, Bernhard > >I have a VAR model with five macro-economic variabl...