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RATS program to demonstrate IV estimation of VAR in panel data


  • Tom Doan


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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
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    Panel VAR; RATS;


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