Panel VAR with Fixed effects

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GonzaloMR
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Joined: Sun Feb 16, 2020 10:49 am

Panel VAR with Fixed effects

Postby GonzaloMR » Thu Mar 12, 2020 5:33 am

Hi, I have used this video:https://www.youtube.com/watch?v=m8M6Im0pDNA in order to understand how to do panel VAR. I have 3 variables which I have estimated using this method, however, each variable has 12 different panels.Variables are liquidity spread, risk premium and average credit rating, for 12 different country sovereign bonds.

Is there a way to estimate this with fixed effects? When i estimate VAR i use "unrestricted VAR" which sounds more like random rather than fixed. thank you very much for your help!
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