To the best of my knowledge, it is not possible to add lags of the exogenous variables in either the VAR model or its state-space equivalent VARMAX. Is there any known work-around to get a VARX(p,q) ...
Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
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