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- Michael R. M. Abrigo
- Department of Economics University of Hawaii at Manoa Honolulu, HI
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- Inessa Love
- Department of Economics University of Hawaii at Manoa Honolulu, HI
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説明
<jats:p> 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. </jats:p>
収録刊行物
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- The Stata Journal: Promoting communications on statistics and Stata
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The Stata Journal: Promoting communications on statistics and Stata 16 (3), 778-804, 2016-09
SAGE Publications