IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/rtz00185.html
 

RATS program to demonstrate IV estimation of VAR in panel data

Author

Listed:
  • Tom Doan

    () (Estima)

Abstract

Example of techniques for estimating a VAR with panel data (with large N-small T data set) from Holtz-Eakin, Newey and Rosen(1988), "Estimating Vector Autoregressions with Panel Data," Econometrica, vol. 56, no 6, pp 1371-95.The data set is from the same source as Holtz-Eakin, Newey and Rosen(1989), "The Revenues-Expenditures Nexus: Evidence from Local Government Data,"International Economic Review, vol 30, no 2, 415-429, but looks at a different model.

Suggested Citation

  • Tom Doan, "undated". "RATS program to demonstrate IV estimation of VAR in panel data," Statistical Software Components RTZ00185, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rtz00185
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

    Download full text from publisher

    File URL: https://www.estima.com/procs_perl/holtz-eakin_n_r_ecm1988.zip
    Download Restriction: no

    Other versions of this item:

    More about this item

    Keywords

    Panel VAR;

    Statistics

    Access and download statistics

    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:boc:bocode:rtz00185. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum). General contact details of provider: http://edirc.repec.org/data/debocus.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.