PANEL VAR

[power23]

Hello,


I am looking for any available code to estimate a model using a Panel VAR in RATS


Thanks!

[TomDoan]

That's not really a well-defined technique---it depends on the structure of the data set and what assumptions you want to make. See the discussion in the thread https://estima.com/forum/viewtopic.php? ... 803&p=3741. The thread https://estima.com/forum/viewtopic.php? ... 765#p13036 is about a completely different approach of a "shrinkage" estimator which can be used when your data set is large in the time dimension and you want to assume the VAR dynamics are are "similar" but not identical.

[kalaba]

Hello, i want to estimate a panel structural VAR like one in Pedroni (2013).
If someone have the Rats code , please share that with me