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st: How to estimate a panel VAR?

From   "Nicole Uhde" <[email protected]>
To   <[email protected]>
Subject   st: How to estimate a panel VAR?
Date   Fri, 31 Oct 2008 12:26:35 +0100

Dear Statalisters, 

I'm searching for a program to estimate a panel VAR model (or rather a panel
VECM). I have sent an email to Inessa Love (World Bank) but she hasn't
answered yet. I know that she has written a program for the estimation of
panel VAR's (pvar.ado).
I'm not sure about how to write the program myself because I'm a beginner in
STATA. What I want to do is to estimate the effects of physical and
personnel infrastructure on GDP per capita. I included data of 16 German
states in two panels, one for East and one for West Germany. I want to find
out if coefficients differ between East and West Germany. 

Thanks in advance for your help!

By the way, I'm using Stata 10.

Kind regards from Germany
Nicole Uhde

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