Hi,
when lags() is applied to a list (of series), then the result is grouped
by variables, i.e. lags(2,mylist) gives
x_1 x_2 y_1 y_2
if x and y are the list members.
In the VAR/VECM context we typically have the variables ordered by lags
instead, i.e. we need
x_1 y_1 x_2 y_2.
(For example, implicitly this standard ordering is also used by the nice
accessor $vecGamma which I just recently discovered.)
I wrote a little loop that roughly does what I need by repeatedly taking
lags; it's good enough for me I guess, although names turn out like
x_1_1 instead of x_2, but I can live with that (thanks to the new
extended character limit for names!). But still I was wondering whether
this would be an argument to extend the lags() function to do that more
cleanly, maybe with an optional parameter or something.
thanks,
sven