pvarife_sim: Simulated panel VAR dataset with interactive fixed effects

In pvarife: Panel VAR Models with Interactive Fixed Effects

Simulated panel VAR dataset with interactive fixed effects

Description

A synthetic panel dataset generated from the DGP of Tugan (2021), Section S10, via sim_pvarife. Provided as a compact example dataset for vignettes and function examples.

Usage

pvarife_sim

Format

A list with the following components:

y

Numeric array of dimension 50 \times 30 \times 2 (50 units, 30 time periods, 2 variables).

beta_true

True coefficient vector of length 6 (2 intercepts + 4 VAR lag coefficients).

theta_true

True VAR coefficient array of dimension 2 \times 2 \times 1.

sigma_true

True reduced-form covariance matrix 2 \times 2.

factors_true

True factor matrix of dimension 30 \times 1.

loadings_true

True factor loadings matrix of dimension 2 \times 50.

Details

Generated with sim_pvarife(n_units = 50, n_time = 30, n_vars = 2, n_lags = 1, n_factors = 1, seed = 42).

Source

Simulated; see sim_pvarife.

References

Tugan, M. (2021). Panel VAR models with interactive fixed effects. Econometrics Journal, 24, 225–246. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1093/ectj/utaa021")}

pvarife documentation built on June 11, 2026, 5:08 p.m.