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Re: st: fhow to use Stata to do panel VAR


From   tang5@purdue.edu
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: fhow to use Stata to do panel VAR
Date   Tue, 15 Nov 2005 18:31:50 -0500

Anybody has comments? I am a dummy at this stuff.
Thanks

> . 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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