Estimation of panel vector autoregression in Stata

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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.

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Abrigo, M. R. M., & Love, I. (2016). Estimation of panel vector autoregression in Stata. Stata Journal, 16(3), 778–804. https://doi.org/10.1177/1536867x1601600314

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