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pvarife  

Panel VAR Models with Interactive Fixed Effects
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("pvarife", "0.1.2")



Attach the package and use:
library("pvarife")
Maintained by
Binzhi Chen
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-06-11
Latest Update: 2026-06-11
Description:
Implements the estimator of Tugan (2021) <doi:10.1093/ectj/utaa021> for panel vector autoregression (VAR) models with interactive fixed effects. Provides joint estimation of VAR coefficients, latent common factors, and factor loadings via an iterative algorithm that alternates between principal component estimation of the factors and least squares estimation of the VAR coefficients, following the approach of Bai (2009). Supports impulse response functions under recursive (Cholesky) identification, parametric confidence bands from the joint asymptotic distribution of the estimator (Theorem 2.3), and a classical residual bootstrap for robustness checks.
How to cite:
Binzhi Chen (2026). pvarife: Panel VAR Models with Interactive Fixed Effects. R package version 0.1.2, https://cran.r-project.org/web/packages/pvarife. Accessed 04 Oct. 2026.
Previous versions and publish date:
(2026-07-09 06:44), 0.1.1 (2026-06-11 14:00)
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Complete documentation for pvarife
Functions, R codes and Examples using the pvarife R package
Full pvarife package functions and examples
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