I have two time series and I want to check the relationship between them. I would like to use vector autoregression (VAR) model to do this.
I'd like to specify the model so that both variables will be explained by the lagged values of both itself and the other variable. Moreover, (and here I encountered the actual trouble,) one of the time series variables, x, will need to depend on the same period value of the other variable y.
In R, can I somehow use the package "vars" to do this? I tried to look at the documentation but I could only figure out how to include lagged variables in the model.
Or is there some other (easy) way to do this? Preferably in R.