Estimation of Panel Vector Autoregression in Stata
Michael R.M. AbrigoDepartment of Economics University of Hawaii at Manoa Honolulu, HIInessa LoveDepartment of Economics University of Hawaii at Manoa Honolulu, HI
2016en
ABI
Abstract
Panel vector autoregression (VAR) models have been increasingly used in applied research. While programs specifically designed to fit time-series VAR models are often included as standard features in most statistical packages, panel VAR model estimation and inference are often implemented with general-use routines that require some programming dexterity. In this article, we briefly discuss model selection, estimation, and inference of homogeneous panel VAR models in a generalized method of moments framework, and we present a set of programs to conveniently execute them. We illustrate the pvar package of programs by using standard Stata datasets.
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Cited by 40 references