Introduction to panel VAR models using Stata

Gustavo Sánchez
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Gustavo Sánchez: StataCorp

Spanish Stata Conference 2026 from Stata Users Group

Abstract: Panel vector autoregression (panel VAR) generalizes dynamic panel models and time-series VAR estimation by modeling the time dynamics while accounting for unobserved cross-sectional heterogeneity. This presentation provides an end-to-end empirical workflow for implementing a panel VAR model with real-world data. I will discuss model formulation, lag selection, and managing instrument proliferation from excessive moment conditions in GMM estimation. I will then demonstrate how to assess model stability and interpret impulse–response functions (IRFs) to evaluate the impact of structural shocks on the endogenous variables in the system.

Date: 2026-10-31
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Persistent link: https://EconPapers.repec.org/RePEc:boc:spai26:01

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