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Estimation of panel vector autoregression in Stata

Author

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  • 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
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