Panel Vector Autoregression

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.


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0.5.3 by Robert Ferstl, a year ago

Browse source code at

Authors: Michael Sigmund [aut] , Robert Ferstl [aut, cre]

Documentation:   PDF Manual  

Task views: Econometrics

GPL (>= 2) license

Imports knitr, MASS, Matrix, progress, matrixcalc, texreg, ggplot2, reshape2, methods

Suggests rmarkdown

See at CRAN