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st: RE: panel VAR Inessa love codes


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: panel VAR Inessa love codes
Date   Sat, 28 May 2011 11:47:16 +0100

You asked very similar questions on Wednesday

http://www.stata.com/statalist/archive/2011-05/msg01382.html

One repeat of a posting is allowed, but it's better to wonder why you got no replies. See for generic advice 

http://www.stata.com/support/faqs/res/statalist.html#noanswer

In this particular case, I suspect it's best to contact the author as indicated in the help file, as she doesn't appear to be active on Statalist. 

Nick 
n.j.cox@durham.ac.uk 

Bernardo Schettini

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?


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