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st: Impulse response function for an AR(p) process estimated from panel data


From   Olli Karjalainen <ollikarjalainen@me.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Impulse response function for an AR(p) process estimated from panel data
Date   Fri, 27 May 2011 13:48:02 +0000 (GMT)

I am trying to get impulse response functions (IRFs) for different AR(p) processes that I have estimated from panel data using xtrc, xtreg and xtabond commands. Plotting IRFs after a VAR is straight forward in Stata, but I can not find a way to do it for the estimates that I get from panel data regressions.

If I could store the estimates in a format that Stata recognizes as a univariate VAR, I could use -irf create- with the stored estimates, and the problem would be solved. Is there a way to store estimates from xtreg/xtrc/xtabond regression in a format that allows using -irf create-?

Suggestions for alternative ways to get the IRFs are very welcome, too.

Kind regards,

Olli Karjalainen


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