I am trying to estimate a SUR model of the form
y_{1,t} = \alpha_1 +\beta_1 x_{1,t} + \beta_2 x_{2,t} + \beta_3 y_{1,t-1} +\epsilon_{1,t}
y_{2,t} = \alpha_2 +\beta_4 x_{1,t} + \beta_5 x_{2,t} + \beta_6 y_{2,t-1} +\epsilon_{2,t}
Define mY = [y_1 y_2] and mX = [x_1 x_2].
For this purpose I am doing
iT = size(mY,1); iN = size(mY,2);
mXsur = kron(mX, eye(iN));
mXsurCell = mat2cell(mXsur, iN*ones(iT,1));
iR = size(mXsur,2);
Mdl = vgxset('n', iN, 'nAR',1, 'nX',iR,'Constant',true);
[SurOutput, SurSDerror, ~,SURcov] = vgxvarx(Mdl, mY, mXsurCell);
The issue is that the bit of code nAR, 1 seems to add 1 lag of both y variables to each equation and I only wish to add one per equation. Is there a quick way to do this?
(Of course I can include the lagged terms manually in the mX matrix, but my question is whether we can do this via vgxset in a quicker way. I think not based on my reading of the help file, but still want to double check). Thanks