pvarhk: Hahn Kuehrsteiner Estimator for PVAR Model

In panelvar: Panel Vector Autoregression

Hahn Kuehrsteiner Estimator for PVAR Model

Description

This function estimates a stationary PVAR with fixed effects.

Usage

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

Arguments

dependent_vars	Dependent variables
exog_vars	Exogenous variables
transformation	Demeaning "demean"
data	Data set
panel_identifier	Vector of panel identifiers

References

Hahn J., Kuehrsteiner G. (2002) Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects When Both n and T Are Large, Econometrica, 70(4), 1639–1657

Examples

data(Dahlberg)
ex1_hk <-
pvarhk(dependent_vars = c("expenditures", "revenues", "grants"),
        transformation = "demean",
        data = Dahlberg,
        panel_identifier= c("id", "year"))

summary(ex1_hk)
                                   

panelvar documentation built on Jan. 6, 2023, 1:17 a.m.