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Re: st: fhow to use Stata to do panel VAR
Anybody has comments? I am a dummy at this stuff.
> . 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 Baum, Boston College Economics
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