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bpfaff / vars

Multivariate Time Series Models: VAR, SVAR and SVEC
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adding lag.restrict option to VAR selection, estimation, and causality testing #10

Closed vlyubchich closed 2 years ago

vlyubchich commented 2 years ago

Hello, I added a lag.restrict option to remove near-contemporaneous correlation of Y_i,t and Y_j,t-n, where n = 1,...,lag.restrict; i != j. This argument is added to VARselect and VAR functions. Also, other functions were modified to account for such restrictions: toMlm and causality.

NAMESPACE was update automatically.

The package builds and passes R CMD check.

Best regards, Slava

bpfaff commented 2 years ago

Hello Slava, many thanks for this patch, much appreciated. Best wishes, Bernhard

vlyubchich commented 2 years ago

You are welcome, Bernhard. Thank you for your great package! Slava