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 05 Jun. 2026.
Previous versions and publish date:
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

msm  
Multi-State Markov and Hidden Markov Models in Continuous Time
Functions for fitting continuous-time Markov and hidden Markov multi-state models to longitudinal d ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
envirem  
Generation of ENVIREM Variables
Generation of bioclimatic rasters that are complementary to the typical 19 bioclim variables. ...
Download / Learn more Package Citations See dependency  
ibb  
R Wrapper for Istanbul Municipality Open Data Portal
Call wrappers for Istanbul Metropolitan Municipality's Open Data Portal (Turkish: Istanbul B ...
Download / Learn more Package Citations See dependency  
crossurr  
Cross-Fitting for Doubly Robust Evaluation of High-Dimensional Surrogate Markers
Doubly robust methods for evaluating surrogate markers as outlined in: Agniel D, Hejblum BP, Thiebau ...
Download / Learn more Package Citations See dependency  

27,268

R Packages

233,548

Dependencies

72,590

Author Associations

27,205

Publication Badges

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