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st: estimating VAR with PANEL DATA

From   "Roys, Nicolas A." <[email protected]>
To   <[email protected]>
Subject   st: estimating VAR with PANEL DATA
Date   Thu, 14 Jul 2005 17:17:43 -0400

Hi everbody,
I have firm-panel data with 6 years and 160 471 firms.
There is 2 endogeneous variable, I want no intercept and only 1 lag.
Variables are in growth rate so there is no stationnarity problem.
How can I estimate a VAR with STATA ?
Thanks for your reply.
Nicolas Roys

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