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PANEL VAR
Posted: Tue Jan 10, 2017 2:29 pm
by power23
Hello,
I am looking for any available code to estimate a model using a Panel VAR in RATS
Thanks!
Re: PANEL VAR
Posted: Tue Jan 10, 2017 3:54 pm
by TomDoan
That's not really a well-defined technique---it depends on the structure of the data set and what assumptions you want to make. See the discussion in the thread
https://estima.com/forum/viewtopic.php? ... 803&p=3741. The thread
https://estima.com/forum/viewtopic.php? ... 765#p13036 is about a completely different approach of a "shrinkage" estimator which can be used when your data set is large in the time dimension and you want to assume the VAR dynamics are are "similar" but not identical.
Re: PANEL VAR
Posted: Sun Jan 15, 2017 1:03 pm
by kalaba
Hello, i want to estimate a panel structural VAR like one in Pedroni (2013).
If someone have the Rats code , please share that with me