The DOI matches its Crossref record; 29 of the 29 references it cites were found in a registry or an index.
Estimation of Panel Vector Autoregression in Stata
Open accessAbstract
Panel vector autoregression (VAR) models have been increasingly used in applied research. While programs specifically designed to fit time-series VAR models are often included as standard features in most statistical packages, panel VAR model estimation and inference are often implemented with general-use routines that require some programming dexterity. In this article, we briefly discuss model selection, estimation, and inference of homogeneous panel VAR models in a generalized method of moments framework, and we present a set of programs to conveniently execute them. We illustrate the pvar package of programs by using standard Stata datasets.
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Cites
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Kumagai, N., Tajika, A., Hasegawa, A., Kawanishi, N., Horikoshi, M., Shimodera, S., Kurata, K., Chino, B., & Furukawa, T. A. (2019) · BMC Psychiatry · doi:10.1186/s12888-019-2382-2 · Cited by 20
Metadata
- Authors
- Abrigo, M. R. M., & Love, I.
- Venue
- The Stata Journal: Promoting communications on statistics and Stata
- Publisher
- SAGE Publications
- Published
- 2016-09
- Volume
- 16
- Issue
- 3
- Pages
- 778-804
- ISSN
- 1536-867X (ISSN-L)
- 1536-8734
- OpenAlex
- W2550663969
- Cited by
- 1,019
- References
- 29
- FWCI
- 88.34
- Type
- journal article
- Language
- en
- Open access
- green
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