I use fastVAR
package. I am not a time series proficient, so I can't be sure from the rsult.
exos <- c(-644691181, -121187080, 353422690, 417492115, -504192375, 420646272,
-47480551, 260350503, 2151074145, 1251550732, 788874753, 540183268,
396739715, 948170766, -1433091907, -148444555, -840182654, -893652578,
-1738734435, -1431476210, 24974246, 93873803, -324033231, 479813749
)
dat <- sample(4632131:100000,24 )
library(fastVAR)
fastVARX(matrix(dat),matrix(exos),3,2,getdiag=FALSE)
Call:
lm(formula = varxz$y.p ~ varxz$Z)
Coefficients:
(Intercept) varxz$Z.l1 varxz$Z.l2 varxz$Z.l3 varxz$Z.l1 varxz$Z.l2
4.642e+06 -2.182e-01 -2.607e-01 -4.587e-01 2.963e-04 -3.743e-04