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Estimation of panel vector autoregression in Stata

Michael Ralph Abrigo and Inessa Love

Stata Journal, 2016, vol. 16, issue 3, 778-804

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. Copyright 2016 by StataCorp LP.

Keywords: pvar; pvarfevd; pvargranger; pvarirf; pvarsoc; pvarstable; panel; vector autoregression; VAR; dynamic panel (search for similar items in EconPapers)
Date: 2016
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Handle: RePEc:tsj:stataj:v:16:y:2016:i:3:p:778-804