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) <doi:10.2307/1913103>, Arellano and Bond (1991) <doi:10.2307/2297968> and the system GMM estimator by Blundell and Bond (1998) <doi:10.1016/S0304-4076(98)00009-8>. 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.
| Version: | 0.5.2 |
| Depends: | R (≥ 3.4) |
| Imports: | knitr, MASS, Matrix (≥ 1.2-11), progress, matrixcalc, texreg, ggplot2, reshape2, methods |
| Suggests: | rmarkdown |
| Published: | 2019-01-22 |
| Author: | Michael Sigmund [aut], Robert Ferstl [aut, cre] |
| Maintainer: | Robert Ferstl <robert.ferstl at ur.de> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Citation: | panelvar citation info |
| In views: | Econometrics |
| CRAN checks: | panelvar results |
| Reference manual: | panelvar.pdf |
| Package source: | panelvar_0.5.2.tar.gz |
| Windows binaries: | r-devel: panelvar_0.5.2.zip, r-release: panelvar_0.5.2.zip, r-oldrel: panelvar_0.5.2.zip |
| macOS binaries: | r-release: panelvar_0.5.2.tgz, r-oldrel: panelvar_0.5.2.tgz |
| Old sources: | panelvar archive |
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