book2<-read.csv("D:\\2013th\\book2.csv")

还是没弄出来，我把我的第一步发给你，ar1 是在book2文件中的变量，但是r说没找到ar1,

book2<-read.csv("D:\\2013thesis\\book2.csv")

library(MSBVAR)
data(book2)set.seed(1)
book2 <- msvar(ar1, p=1, h=2, niterblkopt=20)


Examples
## Not run: ? 为啥
# Simple replication of Hamilton (1989) as in
# Kim and Nelson (1999: 79, 220)

data(HamiltonGDP)
set.seed(1)

m2 <- msvar(HamiltonGDP, p=1, h=2, niterblkopt=20)

# Now plot the filtered probabilities of a recession
# Compare to Kim and Nelson (1999: 79, 220)

fp.rec <- ts(m2$fp[,1], start=tsp(gdp)[1], freq=tsp(gdp)[3])
plot(fp.rec)


## End(Not run)

大恩言谢

book2.csv

http://rgm3.lab.nig.ac.jp/RGM/R_ ... msvar.Rd&d=R_CC

你的books对象不是时间序列，
msvar(Y, p, h, niterblkopt = 10)
Arguments
Y         T x m
multiple time series object created with ts()

你可以如下代码试试：
ar1<-ts(books$ar1)