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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]
First Published: 2018-04-03
Latest Update: 2023-01-05
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 30 Apr. 2025.
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
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