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st: panel var-x

From   "John D. Levendis" <>
To   statalist <>
Subject   st: panel var-x
Date   Tue, 31 Aug 2004 17:38:17 -0500

Hello everyone,

I'm interested in fitting a var model with some exogenous variables on panel 
data for N countries. 

I figured an easy way to do this would be
-var y x1 x2, exog(country1-countryN other) noc

where "country" are indicator variables giving a country-specific intercept, 
and "other" are other exogenous variables.

Are there any problems with such an approach? Does this approach assume that 
the country effects are Fixed Effects? Is this a problem?

Any advice y'all might give would be appreciated. Many thanks.


John D. Levendis
W210 Pappajohn Bus. Bldg
University of Iowa
Iowa City, IA 52242
Can you imagine being from Oz
and moving to Kansas?!

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