panelvar: Panel Vector Autoregression

We extend two general methods of moment estimators to panel vector autoregression models (PVAR) with p lags of endogenous variables, predetermined and strictly exogenous variables. This general PVAR model contains the first difference GMM estimator by Holtz-Eakin et al. (1988) <doi:10.2307/1913103>, Arellano and Bond (1991) <doi:10.2307/2297968> and the system GMM estimator by Blundell and Bond (1998) <doi:10.1016/S0304-4076(98)00009-8>. We also provide specification tests (Hansen overidentification test, lag selection criterion and stability test of the PVAR polynomial) and classical structural analysis for PVAR models such as orthogonal and generalized impulse response functions, bootstrapped confidence intervals for impulse response analysis and forecast error variance decompositions.

Getting started

Package details

AuthorMichael Sigmund [aut], Robert Ferstl [aut, cre]
MaintainerRobert Ferstl <[email protected]>
LicenseGPL (>= 2)
Version0.5.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("panelvar")

Try the panelvar package in your browser

Any scripts or data that you put into this service are public.

panelvar documentation built on April 4, 2018, 1:06 a.m.