VAR | R Documentation |
Estimation of a VAR using equation-by-equation OLS regressions.
VAR(x, configuration = list(nlag = 1))
x |
zoo data matrix |
configuration |
model configuration |
nlag |
Lag length |
Estimate VAR model
David Gabauer
Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 1-48.
data("dy2012")
fit = VAR(dy2012, configuration=list(nlag=1))
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