Panel VAR EViews 9

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DeVos
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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
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Re: Panel VAR EViews 9

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

Which estimation technique did you have in mind?
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pmchileshe
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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
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Re: Panel VAR EViews 9

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

Which estimation technique did you have in mind?
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pmchileshe
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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
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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.
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pmchileshe
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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?

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Re: Panel VAR EViews 9

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

No.
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startz
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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
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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
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pmchileshe
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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

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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.
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