search for: y2_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. So I want y1_t to affect y2_t and I think in {vars} I can only have y1_t-1 affect y2_t. {vars} will only allow VARs of the form: y_t = By_t-1 + Cy_t-2 + ... + Dx_t + e_t Solutions? Maybe another package? Or maybe I'm thinking about this wrong? (And I know that I have to put constraints on A to get identification - I...

...[,2] z at Z11 0.028114 0.065968 z at Z12 0.371630 0.183797 z at ZKy1 -0.011724 -0.002647 z at ZKy2 0.012282 0.001827 z at ZK -0.012430 0.001482 My understanding is that the specification of the VECM was as follows (with K=2): deltay1 = c1 + a1*(y1_t-1-b2*y2_t-1)+ phi11*lag(deltay1_t-1) + phi12*deltay2_t-1+e1 deltay2 = c2 + a2*(y1_t-1-b2*y2_t-1)+ phi21*lag(deltay1_t-1) + phi22*deltay2_t-1+e2 My guess is that Z11 and Z12 correspond to the above phis. That c1 and c1 correspond to ZK. That b2 is -1.11 from the step before? The rest, ZKy1 and ZKy2 I can...