XTVAR2: Stata module to compute panel vector autoregression

Tobias Cagala () and Ulrich Glogowsky

Statistical Software Components from Boston College Department of Economics

Abstract: xtvar2 is a copy of our xtvar command, designed for compatibility with Stata 18.5 (or higher). Our original xtvar command is no longer usable due to a conflict with a newly introduced command in Stata 18.5. xtvar2 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 2024-09-26
Note: This module should be installed from within Stata by typing "ssc install xtvar2". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Citations: View citations in EconPapers (10)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtvar2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtvar2.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtvar2_example.do program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtvar2.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/x/xtvar2_readme.pdf documentation (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s457944

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