dear
how to estimate the panle var model
thanks a lot
how to estimate the panel var model
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how to estimate the panel var model
by luxu1983 » Sun Sep 27, 2009 8:42 pm
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Re: how to estimate the panel var model
by TomDoan » Mon Sep 28, 2009 11:56 am
Which panel VAR model?
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Re: how to estimate the panel var model
by luxu1983 » Mon Sep 28, 2009 11:57 pm
TomDoan wrote:Which panel VAR model?
yit=b*yit-1+eit
yit=(x1it,x2it)' ;b:coefficiences
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Re: how to estimate the panel var model
by TomDoan » Tue Sep 29, 2009 4:11 pm
As you have that described, you can just read the data with a panel CALENDAR, and do a VAR the same way you would for regular time series data. The ESTIMATE instruction (and LINREG and most other instructions) respects the boundaries between individuals in a panel data set.
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