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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)

Programming Language

Stata

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". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtvar.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtvar.sthlp
    File Function: help file
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtvar_example.do
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtvar.dta
    File Function: sample data file
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtvar_readme.pdf
    File Function: documentation
    Download Restriction: no
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    Citations

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    Cited by:

    1. Mariarosaria Comunale, 2017. "A panel VAR analysis of macro-financial imbalances in the EU," Bank of Lithuania Working Paper Series 40, Bank of Lithuania.
    2. Jérôme Creel & Mehdi El Herradi, 2019. "Shocking aspects of monetary policy on income inequality in the euro area," Documents de Travail de l'OFCE 2019-15, Observatoire Francais des Conjonctures Economiques (OFCE).
    3. Jérôme Creel & Mehdi El Herradi, 2020. "Income inequality and monetary policy in the Euro Area," Sciences Po publications 20/2020, Sciences Po.
    4. Boysen-Hogrefe, Jens & Fiedler, Salomon & Groll, Dominik & Kooths, Stefan & Reitz, Stefan & Stolzenburg, Ulrich, 2016. "Konjunktur im Euroraum im Frühjahr 2016 - Euroraum: Erholung zunächst von Unsicherheit belastet [Euro Area: Uncertainty weighs temporarily on recovery]," Kieler Konjunkturberichte 16, Kiel Institute for the World Economy (IfW).
    5. Reitz, Stefan, 2016. "Auswirkungen des globalen Finanzzyklus auf den Euroraum," IfW-Box 2016.6, Kiel Institute for the World Economy (IfW).
    6. George Apostolakis & Athanasios P. Papadopoulos, 2019. "Financial Stability, Monetary Stability and Growth: a PVAR Analysis," Open Economies Review, Springer, vol. 30(1), pages 157-178, February.
    7. Trofimov, Ivan D., 2020. "Public capital and productive economy profits: evidence from OECD economies," MPRA Paper 106848, University Library of Munich, Germany.

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