Estimation of panel vector autoregression in Stata
Michael R. M. Abrigo
Department of Economics
University of Hawaii at Manoa
Honolulu, HI
and Philippine Institute for Development Studies
Manila, Philippines
[email protected]
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Inessa Love
Department of Economics
University of Hawaii at Manoa
Honolulu, HI
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Abstract. 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.
View all articles by these authors:
Michael R. M. Abrigo, Inessa Love
View all articles with these keywords:
pvar, pvarfevd, pvargranger, pvarirf, pvarsoc, pvarstable, panel, vector autoregression, VAR, dynamic panel
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