How to Panel VAR? (with Eviews)

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13. Panel VAR (with Eviews)
Econometrics for PhD 2021, by Dr. habil. Gábor Dávid KISS, PhD
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Outline:
1. What is panel VAR?
- Panel data
- basic VAR model
- restrictions of the parameters (Cholesky’s short-term, Blanchard-Quah's long-term)
- Impulse response functions
- Variance Decompositions
- Structure of the S/F-matrix
- Input requirements - stationarity (?)
- Diagnostics: Information criteria, Standardized condition for stability (Eigenvalue stability condition, Companion Matrix’s Eigenvalues)
2. How to determine the input and diagnostics requirements?
- Let’s check the most recent literature with this method
- Input and diagnostics in the articles
- Panel stationarity, AIC/BIC lag selection, eignevalue & unit circle is a MUST
3. Estimating panel VAR in Eviews
Literature:
Lütkepohl, H., 2005. New Introduction to Multiple Time Series Analysis. Springer, New York.
Brooks, C (2014): Introductory Econometrics for Finance, Cambridge University Press

Опубликовано:

20 сен 2024

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Комментарии : 12

@HH-nw4gr 3 года назад

U saved my life! Thanks sir!

3 года назад

Happy to help

@user-xk8ew1zk5q 5 месяцев назад

But in Eviews, standard VAR does not treat the data as panel, it treats your data as pooled data.

@jaiflobo 3 года назад

Hi, excellent video!!! Very concise and illustrative!!!!. I have a question...Is there a min number of observations to estimate a panel VAR? Could I work with a panel VAR in a country-set (i.e., LATAM->10 countries, T: 1990-2015)?? greetings

2 года назад

I think that the general assumptions about regression modeling works here as well. Time series should be longer than 20 datapoints, otherwise you will need many dummy variables to deal with outliers and some points will appear outside the unit circle if you have insufficient data (or some of them are missing).