swMATH ID: 37483
Software Authors: Cagala T, Glogowsky U
Description: XTVAR: Stata module to compute panel vector autoregression. xtvar estimates a panel vector autoregression, using a least squares dummy variable estimator. The estimator fits a multivariate panel regression of each dependent variable on lags of itself and on lags of all the other dependent variables. The program also produces Forecast Error Variance Decompositions and Impulse Response Functions. For inference, bootstrap and Monte-Carlo methods are implemented
Homepage: https://ideas.repec.org/c/boc/bocode/s457944.html
Dependencies: Stata
Cited in: 0 Publications