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st: RE: RE: RE: Date: Fri, 4 Feb 2005 16:29:00 +0100


From   "Gustavo Sanchez" <gsanchez@stata.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: RE: Date: Fri, 4 Feb 2005 16:29:00 +0100
Date   Fri, 4 Feb 2005 11:46:37 -0600

There are not official commands that perform VAR estimation on panel data.
I am not aware of any user-written command either.

There is a group of user-written commands -ipshin-, -madfuller-, -levinlin-,
and -hadrilm-, all of which perform unit root tests with panel data.  They
can
be installed using the -ssc install- command.

You may also be interested in the user-written program called -nharvey- that
performs the Nyblom-Harvey test for cointegration in panel data.  You can
also
install it with the -ssc install- command.

Gustavo

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Markiewicz,
Agnieszka
Sent: Friday, February 04, 2005 10:53 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: RE: Date: Fri, 4 Feb 2005 16:29:00 +0100


Dear Gustavo,

Is there any other command in this case I could use for panel data?

Agnieszka

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Gustavo
Sanchez
Sent: Friday, February 04, 2005 5:47 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: Date: Fri, 4 Feb 2005 16:29:00 +0100

Dear Agnieszka,

The -var- commands only work with time series. At
present they do not work with panel data.

Gustavo

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Markiewicz,
Agnieszka
Sent: Friday, February 04, 2005 9:29 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: Date: Fri, 4 Feb 2005 16:29:00 +0100


Dear Statalisters,

I would like to fit a var to the pooled data.
I polled the data and I tried to fit the simple var command to it.
I have 3 variables and 2 lags for each.
I get the following message: repeated time values in sample.

Any idea why?

Regards

Agnieszka



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