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e_2
2005 May 18
1
dse VAR models
Hi,
Can anyone tell me how to construct a simple VAR(1) time series with two
variables using the dse package? I would like to end up with two time series
y_1t = \phi_11 y_1,t-1 + \phi_12 y_2,t-1 + e_1t
y_2t = \phi_21 y_1,t-1 + \phi_22 y_2,t-1 + e_2t
Best regards,
Sam.