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st: Vector Autoregression

From   "Mel Jones" <[email protected]>
To   [email protected]
Subject   st: Vector Autoregression
Date   Thu, 16 Oct 2003 09:53:43 +0000

I want to estimate a three equation VAR where the dependent variable in the first equation is entered contemporaneously in the second and third equation rather than its lag. However when lags are specified in the VAR command they apply to all equations and I cannot find a way of entering the contemporaneous variable in some equations.

I would appreciate any suggestions.


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