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st: Pooled VAR models


From   Tom Carsey <tcarsey@fsu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Pooled VAR models
Date   Thu, 10 Nov 2005 22:02:41 -0500

I'm looking for help estimating a pooled VAR model. I have 62 units, 91 time points and two variables. I'm looking for either a work-around for the VAR commands or a way to estimate the model with OLS (or SUR) and save the results, residuals, etc. and feed those into a program to produce the various tests on VARs (serial correlation, Granger causality, Impulse Response Functions, etc.).

Thanks,

Tom

Thomas M. Carsey, Professor and Director of Graduate Studies
Dept. of Political Science
Florida State University
Tallahassee, FL 32306-2230
Tel: 850.645.0083
Fax: 850.644.1367
tcarsey@fsu.edu
http://garnet.acns.fsu.edu/~tcarsey


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