Other packages > Find by keyword >

panelvar  

Panel Vector Autoregression
View on CRAN: Click here


Download and install panelvar package within the R console
Install from CRAN:
install.packages("panelvar")

Install from Github:
library("remotes")
install_github("cran/panelvar")

Install by package version:
library("remotes")
install_version("panelvar", "0.5.6")



Attach the package and use:
library("panelvar")
Maintained by
Robert Ferstl
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-04-03
Latest Update: 2024-11-25
Description:
We extend two general methods of moment estimators to panel vector autoregression models (PVAR) with p lags of endogenous variables, predetermined and strictly exogenous variables. This general PVAR model contains the first difference GMM estimator by Holtz-Eakin et al. (1988) , Arellano and Bond (1991) and the system GMM estimator by Blundell and Bond (1998) . We also provide specification tests (Hansen overidentification test, lag selection criterion and stability test of the PVAR polynomial) and classical structural analysis for PVAR models such as orthogonal and generalized impulse response functions, bootstrapped confidence intervals for impulse response analysis and forecast error variance decompositions.
How to cite:
Robert Ferstl (2018). panelvar: Panel Vector Autoregression. R package version 0.5.6, https://cran.r-project.org/web/packages/panelvar. Accessed 15 Jul. 2026.
Previous versions and publish date:
(2026-07-09 06:39), 0.5.1 (2018-04-03 21:01), 0.5.2 (2019-01-22 13:50), 0.5.3 (2021-01-27 19:20), 0.5.4 (2022-10-19 15:32), 0.5.5 (2023-01-05 18:40)
Other packages that cited panelvar R package
View panelvar citation profile
Other R packages that panelvar depends, imports, suggests or enhances
Complete documentation for panelvar
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

pulseTD  
Identification of Transcriptional Dynamics using Pulse Models via 4su-Seq Data and RNA-Seq Data
A tool for analyzing the transcription, processing and degradation rates of genes by 4sU-seq (the Me ...
Download / Learn more Package Citations See dependency  
binhf  
Haar-Fisz Functions for Binomial Data
Binomial Haar-Fisz transforms for Gaussianization as in Nunes and Nason (2009). ...
Download / Learn more Package Citations See dependency  
footBayes  
Fitting Bayesian and MLE Football Models
This is the first package allowing for the estimation, visualization and prediction of the most wel ...
Download / Learn more Package Citations See dependency  
SECFISH  
Disaggregate Variable Costs
These functions were developed within SECFISH project (Strengthening regional cooperation in the are ...
Download / Learn more Package Citations See dependency  
PermAlgo  
Permutational Algorithm to Simulate Survival Data
This version of the permutational algorithm generates a dataset in which event and censoring times ...
Download / Learn more Package Citations See dependency  
gamlss.add  
Extra Additive Terms for Generalized Additive Models for Location Scale and Shape
Interface for extra smooth functions including tensor products, neural networks and decision trees. ...
Download / Learn more Package Citations See dependency  

27,806

R Packages

239,283

Dependencies

73,837

Author Associations

27,807

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA