title: Outlier treatment in Vector Autoregression (VAR) Model using vars package in r
body: <p>I have the same problem as the following post, but I have more samples and the index of the outlier is known.</p>
  
  <p><a href="https://stats.stackexchange.com/questions/73304/outlier-treatment-in-vector-autoregression-var-model?newreg=31eda9f1618047dcba346fdcb8014dcb">https://stats.stackexchange.com/questions/73304/outlier-treatment-in-vector-autoregression-var-model?newreg=31eda9f1618047dcba346fdcb8014dcb</a></p>
  
  <p>I tried deleting the outliers; it works. I also want to try including dummy variables for the outliers (the dummy take the value of 1 on the outliers, and zero otherwise) and compare the two treatments. One reason I want to do this is that a special event at t1 may also impact the response variable y2 at t2. However, its impact on t2 is not significant enough, thus y2 is not an outlier.</p>
  
  <p><code>Question</code>: The VAR in R package <code>vars</code> returns "NAs in y". I guess is because the dummy variable comprises a lot of zeros. I don't know how to fix it. Thanks in advance.</p>