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XTVAR: Stata module to compute panel vector autoregression

Author

Listed:
  • Tobias Cagala

    () (Friedrich-Alexander University of Erlangen-Nuremberg)

  • Ulrich Glogowsky

    () (Friedrich-Alexander University of Erlangen-Nuremberg)

Abstract

xtvar estimates a panel vector autoregression, using a least squares dummy variable estimator. The estimator fits a multivariate panel regression of each dependent variable on lags of itself and on lags of all the other dependent variables. The program also produces Forecast Error Variance Decompositions and Impulse Response Functions. For inference, bootstrap and Monte-Carlo methods are implemented.

Suggested Citation

  • Tobias Cagala & Ulrich Glogowsky, 2014. "XTVAR: Stata module to compute panel vector autoregression," Statistical Software Components S457944, Boston College Department of Economics, revised 02 Apr 2015.
  • Handle: RePEc:boc:bocode:s457944
    Note: This module should be installed from within Stata by typing "ssc install xtvar". Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtvar.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtvar.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtvar_example.do
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtvar.dta
    File Function: sample data file
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtvar_readme.pdf
    File Function: documentation
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