There are not official commands that perform VAR estimation on panel data.
I am not aware of any user-written command either.
There is a group of user-written commands -ipshin-, -madfuller-, -levinlin-,
and -hadrilm-, all of which perform unit root tests with panel data. They
can
be installed using the -ssc install- command.
You may also be interested in the user-written program called -nharvey- that
performs the Nyblom-Harvey test for cointegration in panel data. You can
also
install it with the -ssc install- command.
Gustavo
-----Original Message-----
From: [email protected]
[mailto:[email protected]]On Behalf Of Markiewicz,
Agnieszka
Sent: Friday, February 04, 2005 10:53 AM
To: [email protected]
Subject: st: RE: RE: Date: Fri, 4 Feb 2005 16:29:00 +0100
Dear Gustavo,
Is there any other command in this case I could use for panel data?
Agnieszka
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Gustavo
Sanchez
Sent: Friday, February 04, 2005 5:47 PM
To: [email protected]
Subject: st: RE: Date: Fri, 4 Feb 2005 16:29:00 +0100
Dear Agnieszka,
The -var- commands only work with time series. At
present they do not work with panel data.
Gustavo
-----Original Message-----
From: [email protected]
[mailto:[email protected]]On Behalf Of Markiewicz,
Agnieszka
Sent: Friday, February 04, 2005 9:29 AM
To: [email protected]
Subject: st: Date: Fri, 4 Feb 2005 16:29:00 +0100
Dear Statalisters,
I would like to fit a var to the pooled data.
I polled the data and I tried to fit the simple var command to it.
I have 3 variables and 2 lags for each.
I get the following message: repeated time values in sample.
Any idea why?
Regards
Agnieszka
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