[R] Vars package - specification of VAR

Pfaff, Bernhard Dr. Bernhard_Pfaff at fra.invesco.com
Mon Dec 8 11:09:52 CET 2008

Hello Bernd,

by definition, a VAR does only include **lagged endogenous** variables.
You might want consider SVAR() contained in the same package, or fit a
VECM (see CRAN package 'urca').


>Hi useRs,
>Been estimating a VAR with two variables, using VAR() of the 
>package "vars".
>Perhaps I am missing something, but how can I include the 
>present time t variables, i.e. for the set of equations to be:
>x(t) = a1*y(t) + a2*y(t-1) + a3*x(t-1) + ...
>Y(t) = a1*x(t) + a2*x(t-1) + a3*y(t-1) + ...
>The types available in function VAR() allow for seasonal 
>dummies, time trends and constant term.
>But the terms
>always seem to be excluded by default, thus only lagged 
>variables enter the right side.
>How can I specify VAR() such that a1*y(t) and a1*x(t) are included? 
>Or would I have to estimate with lm() instead?
>Many thanks in advance,
>R-help at r-project.org mailing list
>PLEASE do read the posting guide 
>and provide commented, minimal, self-contained, reproducible code.
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