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Re: st: Re: Panel VAR

From   Stefano Iezzi <[email protected]>
To   [email protected], <[email protected]>
Subject   Re: st: Re: Panel VAR
Date   Mon, 28 Apr 2003 10:47:25 +0200

Dear friends,

do anyone know or have a Stata procedure for applying the System-GMM by Blundell and Bond?

Thank you all,

Stefano Iezzi

At 17.29 24/04/2003 -0500, Scott Merryman wrote:

----- Original Message -----
From: "Rob Williams" <[email protected]>
To: <[email protected]>
Sent: Thursday, April 24, 2003 2:06 PM
Subject: st: Panel VAR

> I'd like to use Stata to do a panel vector autoregression.  The var and
> commands don't seem to be capable of doing a panel VAR.  Does anyone know
> a user-written .ado file out there for panel VARs?
> Thanks for any help you can provide.
> -Rob Williams

There is a World Bank working paper entitled "Financial Development and
Dynamic Investment Behavior: Evidence From Panel Vector Autoregression" by
Inessa Love and Lea Zicchino    (at: ) in which Stata was used.
They do report that the Stata programs used are available from the authors.


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