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st: panel var-x


From   "John D. Levendis" <john-levendis@uiowa.edu>
To   statalist <statalist@hsphsun2.harvard.edu>
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

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