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在R中,使用vars包做一个VAR模型,如何在p参数中指定一个特定的延迟?

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I am developing a VAR model using quarterly data with the vars package. To specify autoregressors, the VAR function within this package gives you have two choices. You can either let R select the best lags for you up to a maximum you set up using 'lag.max.' In this case, given I have quarterly data I would set it at 4. However, I am unclear how well this function truly selects the best lags this way. It seems every time I do it that way, R appears to select the first 3 quarterly lags. Theory and practice suggests Lag 4 is often better than the others because it picks up seasonality (quarterly data). Now, the other way to specify your lags is to use the "p" argument. So, if you state p = 1. It will do the 1st lag. But, if you do p = 4; it won't do just the 4th lag (the one I want). Instead, it does all four lags up to the 4th one (Lag 1, Lag 2, Lag 3, Lag 4). How can you specify just using Lag 4? Is that not possible, because it is braking the actual structure of VAR models? I am developing a VAR model using quarterly dat




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