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panelvar
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]
[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 26 Aug. 2026.
Previous versions and publish date:
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imports, suggests or enhances
Complete documentation for panelvar
Functions, R codes and Examples using
the panelvar R package
Some associated functions: Andrews_Lu_MMSC . Cigar . Dahlberg . abdata . bootstrap_irf . coef.pvarfeols . coef.pvargmm . coef.pvarhk . ex1_dahlberg_data . ex1_dahlberg_data_bs . ex2_nlswork2_data_bs . ex3_abdata . extract . fevd_orthogonal . fixedeffects . girf . hansen_j_test . knit_print.pvarfeols . knit_print.pvargmm . knit_print.pvarhk . knit_print.summary.pvarfeols . knit_print.summary.pvargmm . knit_print.summary.pvarhk . nlswork2 . oirf . plot.pvarstability . print.pvarfeols . print.pvargmm . print.pvarhk . print.pvarstability . print.summary.pvarfeols . print.summary.pvargmm . print.summary.pvarhk . pvalue . pvarfeols . pvargmm . pvarhk . residuals_level . se . stability . summary.pvarfeols . summary.pvargmm . summary.pvarhk .
Some associated R codes: Endo_Lmin_Lmax_transition_matrix.R . Predetermined_Lmin_Lmax_transition_matrix.R . datafiles.R . helper_functions.R . panel_lag.R . pca_transformation_matrix.R . pvar-methods.R . pvar.R . pvar_fe_ols.R . pvarfeols-methods.R . pvarhk-methods.R . pvarhk.R . rows_Q.R . zzz.R . Full panelvar package functions and examples
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