Program file to run a VAR model with p-lags % Author: Jefferson Martinez te amo % This code has been created only for academic and teaching purposes. Feel % free to use it, but do not forget to acknowledge the work. % I thank Carlos Guevara for the useful comments % This code is based on Chapter 2 of Helmut Lütkepohl (2005), "New % Introduction to Multiple Time Series Analysis", Springer; and Kilian, L. % and Lütkepohl, J. (2017). Structural vector autoregressive analysis. % Cambridge University Press.