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st: fhow to use Stata to do panel VAR


From   Christopher Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: fhow to use Stata to do panel VAR
Date   Tue, 15 Nov 2005 17:07:51 -0500

. webuse grunfeld
. mvreg invest mvalue kstock = L(1/2).invest L(1/2).mvalue L(1/2).kstock

Smells like a panel; VAR to me... remember that VAR is just regression on the same set of lagged regressors for each of the dependent variables. This implmentation imposes the constraints that the coefficients do not differ across panels, but isn't that what a panel VAR implies?

Kit

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