I came across vars package in [R] and it seems the package does everything I need for a VAR model. The only exception is that I need to define dummy variables. For example think that my dependent vector has n elements and I need to estimate (eliminate) the impact of Christmas holiday on the first element. I define a dummy variable with 1 at Christmas day and 0 at other days, but if I add this into the dependent variables vector, model parameters become extensively large. Is there any other way to define dummies for one variable in this pacakge?