Estimation of panel vector autoregression in Stata

• Autores: Michael R. M. Abrigo, Inessa Love
• Localización: The Stata journal, ISSN 1536-867X, Vol. 16, Nº. 3, 2016, págs. 778-804
• Idioma: inglés
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• Dialnet Métricas: 12 Citas
• Resumen

  • 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.