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I would like to find a suitable model for the relationship between multiple independent variables and two dependent variables simultaneously. Which model would you recommend me to use? If I understand correctly, VAR is not an option, as I am not interested in finding the lag relationship between dependent variables. Also, if I use multivariate multiple regression (like MANOVA), it does not apply to time series. Then which model should I use? Thanks in advance!

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  • $\begingroup$ In a structural VAR with exogenous variables ("SVARX") you can account for (some) contemporaneous effects, see e.g. emis.de/journals/RCE/V35/v35n3a09.pdf $\endgroup$
    – Christoph Hanck
    Commented Jun 22, 2022 at 11:29
  • $\begingroup$ Aww ok! I will take a look, thank you very much @ChristophHanck! $\endgroup$
    – angelavtc
    Commented Jun 22, 2022 at 11:37

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