st: estimating VAR with PANEL DATA

["Roys, Nicolas A." <Nicolas_A_Roys@brown.edu>]

Hi everbody,
 
I have firm-panel data with 6 years and 160 471 firms.
There is 2 endogeneous variable, I want no intercept and only 1 lag.
Variables are in growth rate so there is no stationnarity problem.
How can I estimate a VAR with STATA ?
 
Thanks for your reply.
 
Nicolas Roys
 

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