Anybody has comments? I am a dummy at this stuff.
Thanks
> . webuse grunfeld
> . mvreg invest mvalue kstock = L(1/2).invest L(1/2).mvalue L
(1/2).kstock
>
> Smells like a panel; VAR to me... remember that VAR is just
regression on the
> same set of lagged regressors for each of the dependent variables.
This
> implmentation imposes the constraints that the coefficients do not
differ
> across panels, but isn't that what a panel VAR implies?
A VAR Is merely the regression of y1,y2,..yn on P lags of
y1,y2,..,yn. Since each regression has the same regressors the
estimation is efficiently performed by OLS on each equation. mvreg
takes account of the fact that (X'X)^{-1} need only be computed once
in this case. If y1,...yn are organized as a panel, then the VAR says
that y1(i) is regressed on y1(i),y2(i),..yn(i) and so on for each i.
That is what the command above is doing: OLS of invest, mvalue,
kstock on two lags of each of those variables. That is a VAR on panel
data as far as I understand it.
