pvarfeols: Fixed Effects Estimator for PVAR Model

Description Usage Arguments Examples

View source: R/pvar_fe_ols.R

Description

This function estimates a stationary PVAR with fixed effects.

Usage

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pvarfeols(
  dependent_vars,
  lags,
  exog_vars,
  transformation = c("demean"),
  data,
  panel_identifier = c(1, 2)
)

Arguments

dependent_vars

Dependent variables

lags

Number of lags of dependent variables

exog_vars

Exogenous variables

transformation

Demeaning "demean"

data

Data set

panel_identifier

Vector of panel identifiers

Examples

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data(Cigar)
ex1_feols <-
pvarfeols(dependent_vars = c("log_sales", "log_price"),
          lags = 1,
          exog_vars = c("cpi"),
          transformation = "demean",
          data = Cigar,
          panel_identifier= c("state", "year"))
          
summary(ex1_feols)         

Example output

Welcome to panelvar! Please cite our package in your publications -- see citation("panelvar")
---------------------------------------------------
Fixed Effects OLS Panel VAR estimation 
---------------------------------------------------
Transformation: demean 
Group variable: state 
Time variable: year 
Number of observations = 1380 
Number of groups = 46 
Obs per group: min = 30 
               avg = 30 
               max = 30 

===============================================================
                         demeaned_log_sales  demeaned_log_price
---------------------------------------------------------------
demeaned_lag1_log_sales   0.9789 ***         -0.0081           
                         (0.0119)            (0.0141)          
demeaned_lag1_log_price   0.0594 ***          0.7533 ***       
                         (0.0140)            (0.0167)          
demeaned_cpi             -0.0013 ***          0.0041 ***       
                         (0.0002)            (0.0002)          
===============================================================
*** p < 0.001, ** p < 0.01, * p < 0.05

panelvar documentation built on Jan. 28, 2021, 1:09 a.m.

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