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st: panel VAR Inessa love codes


From   Bernardo Schettini <bernardo.schettini@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: panel VAR Inessa love codes
Date   Fri, 27 May 2011 17:06:42 -0300

Statalisters,

I am using Inessa Love's panel-VAR codes pvar.ado, along with sgmm.ado
and Helm.ado to do system GMM and forward mean-defference the
variables. The programs seem to work fine. Still, I have 3 questions:

1 - How do I include exogenous variables in the model? The syntax is
pvar varlist [if exp], [lag(p) options], but all variables in the
valist are treated as endogenous. How am I supposed to include time
dummies or other exogenous variables?

2 - How can I do hypotheses testinh after estimating the panel-VAR?

3 - sgmm does system-GMM in the sense that it estimates de whole set
of equations, treating all variables as endogenous. But it is not
system-GMM in the sense of Arellano and Bover (1995). That said, it is
not clear how variables are instrumentalized and what are the benefits
and pitfalls of the sgmm procedure.

Can anyone help me with that?

Thank you.

Best,

Bernardo Schettini
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