PVAR-historical decomposition

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zabiah
Posts: 2
Joined: Sun Feb 06, 2011 7:12 pm

PVAR-historical decomposition

Postby zabiah » Sat Feb 09, 2019 11:59 am

Hi: I am estimating a panel VAR and using a simple cholesky decomposition of identification. I understand impulse responses in this exercise would refer to a some cross-sectional average impulse response.

I am more keen in the historical decomposition. And even if it is estimated as a panel, one should be able to recover country-specific decomposition. But all that Eviews provide is the decomposition for the first country listed in the panel. Is there any way I can get decomposition for the other countries? Or even for the panel average?

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

Re: PVAR-historical decomposition

Postby EViews Gareth » Sat Feb 09, 2019 7:25 pm

EViews doesn't have panel VARs built in.
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