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Estimation of Panel Vector Autoregression in Stata: a Package of Programs

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  • Michael R.M. Abrigo

    (University of Hawaii at Manoa and 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 estimate 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 paper, we briefly discuss model selection, estimation and inference of homogeneous panel VAR models in a generalized method of moments (GMM) framework, and present a set of Stata programs to conveniently execute them. We illustrate the pvar package of programs by using standard Stata datasets.

Suggested Citation

  • Michael R.M. Abrigo & Inessa Love, 2016. "Estimation of Panel Vector Autoregression in Stata: a Package of Programs," Working Papers 201602, University of Hawaii at Manoa, Department of Economics.
    • Handle: RePEc:hai:wpaper:201602
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    File URL: http://www.economics.hawaii.edu/research/workingpapers/WP_16-02.pdf
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    References listed on IDEAS

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