VAR for Panel Data

[weber]

My dataset has a panel structure (multiple years for multiple firms), and I'd like to ask if there are any problems of using "var var1.ls var1 var2 ……."
Because this EVIEWS VAR statement uses an OLS approach, any assumptions are violated if we use it to analyze panel data? Is the estimation still efficient?


Thanks

Weber

[EViews Glenn]

While there is no definitive answer to that question, using the built-in var estimator in a panel data set quite likely will violate one or more assumptions.