Hi,
I propose to treat VARs more fully as a special case of a structural
system of equations. This would imply to make the accessors $sysA and
$sysB accessible, and probably a few other things as well. If you want I
could write down a complete list.
$sysA is already quite easy I guess, as $compan[1:N,]. However, I don't
see why users must be expected to know this trick and not directly
provide the endogenous lagged coefficients. And for $sysB it's more
involved.
And BTW, in the built-in help the definition of $sysA is not totally
clear, whether the ordering is by variable or by lags. Only the section
in the user guide explains it 100%.
I could imagine that such stuff need not be implemented at the C level
in principle, but it's not obvious (to me) how the interface should look
like to come as close to the $-accessors as possible.
For VECMs the situation is maybe less clear, but given that you specify
it by using the levels of the variables and that $compan also exists
there, I tend to think it could be covered just as well.
Opinions?
thanks,
sven