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Estimation of Panel Vector Autoregression in Stata: a Package of Programs

Michael Ralph Abrigo and Inessa Love
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Inessa Love: University of Hawaii at Manoa

No 201602, Working Papers from University of Hawaii at Manoa, Department of Economics

Abstract: Panel vector autoregression (VAR) models have been increasingly used in applied research. While programs specifically designed to estimate 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 paper, we briefly discuss model selection, estimation and inference of homogeneous panel VAR models in a generalized method of moments (GMM) framework, and present a set of Stata programs to conveniently execute them. We illustrate the pvar package of programs by using standard Stata datasets.

Date: 2016-01
New Economics Papers: this item is included in nep-ets and nep-sea
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