Swamy RCM panel VAR [Eviews 6]

[nadja123]

Hello, I need to estimate a simple VAR model, but for 10 cros-sections (10 countries) using the Swamy's estimator (presented under Random Coefficients Model in panel data textbooks). So far I know, VAR estimation and panel data estimation are two separate procs in EViews 6. Am I correct that for this I need to write my own program?

If yes, can you please comment on my preliminary idea of the program:
- work upon a pooled workfile
- 1st stage: country individual VAR estimates, store coefficients
- 2nd stage: compute Swamy's estimate of the common slope, cross-section specific slopes, including variance

Thanks for a reply asap.