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st: Re:fitting a var...


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re:fitting a var...
Date   Sat, 5 Feb 2005 08:31:51 -0500

She was correctly told that -var- does not work with panels. But VARs are merely autoregressions of a set of y variables on a set of lags of each of those variables. They can be efficiently estimated by OLS. Therefore, since it is a dynamic panel data setting, she can run xtabond2 (which I would recommend over official xtabond) for each country/firm/etc. in the panel. xtabond2 is capable of estimating simpler models than the Arellano-Bond, including anything one can specify as OLS or IV.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

On Feb 5, 2005, at 2:33 AM, Agnieszka wrote:


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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