Dear Community,
I have the following two variables, which I have split according to a
factor:
*y1*
[1]
1
2
3 [2]
2
3
4
and
*y2*
A B [1]
1 4
2 5
3 6 [2]
2 5
3 6
4 7
Now I need the following Vector Autoregressive Models:
VAR(cbind(y1[1],y2[1]$A)), VAR(cbind(y1[1],y2[1]$B)),
VAR(cbind(y1[2],y2[2]$A)), VAR(cbind(y1[2],y2[2]$B)). My problem is that
when using this argument: lapply(y2, function(x) VAR(cbind(x,y1),ic="SC",
lag.max=5), I receive these models: VAR(cbind(y1[1],y1[2],y2[1]$A)),
VAR(cbind(y1[1],y1[2],y2[1]$B)), VAR(cbind(y1[2],y1[1],y2[2]$A)),
VAR(cbind(y1[2],y1[1],y2[2]$B)). Can anybody help me?
Thank you
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