Panel VAR EViews 9

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

DeVos
Posts: 1
Joined: Fri May 04, 2018 5:31 am

Panel VAR EViews 9

Postby DeVos » Fri May 04, 2018 8:17 am

Hi,

Is there any possibility to estimate a panel VAR in eviews 9?

Kind regards

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11907
Joined: Tue Sep 16, 2008 5:38 pm

Re: Panel VAR EViews 9

Postby EViews Gareth » Fri May 04, 2018 8:30 am

Which estimation technique did you have in mind?
Follow us on Twitter @IHSEViews

pmchileshe
Posts: 6
Joined: Mon Jul 16, 2018 11:04 pm

Re: Panel VAR EViews 9

Postby pmchileshe » Tue Jul 17, 2018 8:23 am

Hi Gareth am trying to estimate a Panel VAR using Eviews 10. Is this possible?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11907
Joined: Tue Sep 16, 2008 5:38 pm

Re: Panel VAR EViews 9

Postby EViews Gareth » Tue Jul 17, 2018 8:27 am

Which estimation technique did you have in mind?
Follow us on Twitter @IHSEViews

pmchileshe
Posts: 6
Joined: Mon Jul 16, 2018 11:04 pm

Re: Panel VAR EViews 9

Postby pmchileshe » Wed Jul 18, 2018 2:53 am

I would to estimate a PANEL VAR with either FIXED EFFECTS, RANDOM EFFECTS or USING the GMM. In other words whichever is appropriate.

Regards
EViews Gareth wrote:Which estimation technique did you have in mind?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11907
Joined: Tue Sep 16, 2008 5:38 pm

Re: Panel VAR EViews 9

Postby EViews Gareth » Wed Jul 18, 2018 7:35 am

None of those are built in, unfortunately.

You could estimate a standard VAR and use @expand(@Crossid) as an exogenous variable which might give you the fixed effects you want.
Follow us on Twitter @IHSEViews

pmchileshe
Posts: 6
Joined: Mon Jul 16, 2018 11:04 pm

Re: Panel VAR EViews 9

Postby pmchileshe » Wed Jul 18, 2018 7:56 am

Thanks Gareth, I have tried it and it has worked. How do include random effects ? or Is there a way of estimating using the GMM?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11907
Joined: Tue Sep 16, 2008 5:38 pm

Re: Panel VAR EViews 9

Postby EViews Gareth » Wed Jul 18, 2018 8:03 am

No.
Follow us on Twitter @IHSEViews

startz
Non-normality and collinearity are NOT problems!
Posts: 3398
Joined: Wed Sep 17, 2008 2:25 pm

Re: Panel VAR EViews 9

Postby startz » Wed Jul 18, 2018 8:29 am

Is it possible do do some of this by manually writing out the VAR as a standard regression?

pmchileshe
Posts: 6
Joined: Mon Jul 16, 2018 11:04 pm

Re: Panel VAR EViews 9

Postby pmchileshe » Fri Aug 03, 2018 5:22 am

Hi Gareth,
Is it possible to get impulse response functions for Panel VAR if use the @expand(crossid) command in the exogenous section of the VAR window.
Reagds
Attachments
data.xlsx
(15.41 KiB) Downloaded 47 times

pmchileshe
Posts: 6
Joined: Mon Jul 16, 2018 11:04 pm

Re: Panel VAR EViews 9

Postby pmchileshe » Thu Aug 23, 2018 8:13 am

Dear Gareth,
Is it possible to get impulse response functions for Panel VAR if use the @expand(crossid) command in the exogenous section of the VAR window.
Reagd

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11907
Joined: Tue Sep 16, 2008 5:38 pm

Re: Panel VAR EViews 9

Postby EViews Gareth » Thu Aug 23, 2018 8:29 am

Impulse responses work in exactly the same way as a non-panel VAR.
Follow us on Twitter @IHSEViews


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 4 guests