IDEAS home Printed from https://ideas.repec.org/a/tsj/stataj/v16y2016i3p778-804.html
   My bibliography  Save this article

Estimation of panel vector autoregression in Stata

Author

Listed:
  • Michael R. M. Abrigo

    (University of Hawaii at Manoa
    Philippine Institute for Development Studies)

  • Inessa Love

    (University of Hawaii at Manoa)

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. Copyright 2016 by StataCorp LP.

Suggested Citation

  • Michael R. M. Abrigo & Inessa Love, 2016. "Estimation of panel vector autoregression in Stata," Stata Journal, StataCorp LP, vol. 16(3), pages 778-804, September.
    • Handle: RePEc:tsj:stataj:v:16:y:2016:i:3:p:778-804
    Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj16-3/st0455/
    as

    Download full text from publisher

    File URL: http://www.stata-journal.com/article.html?article=st0455
    File Function: link to article purchase
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:16:y:2016:i:3:p:778-804. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum or Lisa Gilmore (email available below). General contact details of provider: http://www.stata-journal.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.