Economics at your fingertips  

XTVAR: Stata module to compute panel vector autoregression

Tobias Cagala () and Ulrich Glogowsky

Statistical Software Components from Boston College Department of Economics

Abstract: xtvar estimates a panel vector autoregression, using a least squares dummy variable estimator. The estimator fits a multivariate panel regression of each dependent variable on lags of itself and on lags of all the other dependent variables. The program also produces Forecast Error Variance Decompositions and Impulse Response Functions. For inference, bootstrap and Monte-Carlo methods are implemented.

Language: Stata
Requires: Stata version 12
Keywords: panel data; vector autoregression; VAR; bootstrap; Monte Carlo; FEVD; IRF (search for similar items in EconPapers)
Date: 2014-12-15, Revised 2015-04-02
Note: This module should be installed from within Stata by typing "ssc install xtvar". The module is made available under terms of the GPL v3 ( Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link) program code (text/plain) help file (text/plain) program code (text/plain) sample data file (application/x-stata) documentation (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This software item can be ordered from

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().

Page updated 2020-09-25
Handle: RePEc:boc:bocode:s457944