From | "Min Tang" <[email protected]> |
To | <[email protected]> |
Subject | st: Why STATA not allow me set memory |
Date | Thu, 24 Nov 2005 16:03:13 -0500 |
. webuse grunfeld
. mvreg invest mvalue kstock = L(1/2).invest L(1/2).mvalue L(1/2).kstock
Smells like a panel; VAR to me... remember that VAR is just regression on the same set of lagged regressors for each of the dependent variables. This implmentation imposes the constraints that the coefficients do not differ across panels, but isn't that what a panel VAR implies?
Kit
Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
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