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Yes. But lags won't cross seams. But since I am looking to see whether variables Y or Z affect X, do you think that setting up VAR/VECM models for two different panels (ex. Panel A: European countries, Panel B: Asian countries) and then looking at the different coefficients of the two panels is inc...

Nothing has changed - it still estimates on the stacked data, but lags do not cross seams. Hi Gareth, Thanks for your answer. Just to get this right. Does that mean that if I set up a VAR or VECM with panel data, Eviews will simply calculate results for the whole data set and ignore the fact that I...

Hi, Previous posts in this forum mention that it is not possible to estimate VAR/VECM models with panel data however, the posts are relatively old. I was wondering whether anyone could tell if it possible to set up a VAR/VECM model with panel data in Eviews 9 and observe individual results for panel...

Therefore, I should follow the Group Statistics cointegration test.

Thank you for your reply!!!

Hi, I am estimating causality between 4 variables in panel data and part of the process includes testing for cointegration. When I test for Johansen-Fisher cointegration through Quick>Group Statistics>Johansen Cointegration Test, I get different results from when I set-up a VAR with my 4 variables a...