subject:"\[R\] Simulate values from VAR"

Re: [R] Simulate values from VAR

2012-03-01 Thread Pfaff, Bernhard Dr.

Hello Keith, see ?Acoef for retrieving the coefficients. Incidentally, in the package dse simulation methods are made available. Best, Bernhard Dr. Bernhard Pfaff Director Global Asset Allocation Invesco Asset Management Deutschland GmbH An der Welle 5 D-60322 Frankfurt am Main Tel: +49 (0)6

[R] Simulate values from VAR

2012-02-29 Thread Keith Weintraub

Folks, What is the best way to simulate values from a fitted "VAR {vars}" model. Also I have tried to use SVAR for a cointegration fit of y~x (just two univariate time-series) but I can't figure out how to set up the "A" matrix so that x_t can be used as a contemporaneous predictor of y_t. Th