Page 1 of 1
autoregressive panel data model
Posted: Thu Jan 19, 2012 5:20 am
by tumrafael91
Hello, I would like to find out weather it is possible to construct and estimate autoregressive panel data model using eviews, and if it is possible tell me please how to do... Thanks
autoregressive panel data model
Posted: Thu Jan 19, 2012 7:43 am
by EViews Gareth
What do you mean by an AR panel data model?
Re: autoregressive panel data model
Posted: Fri Jan 20, 2012 2:54 am
by tumrafael91
I mean that I have a model
Y(t) = c0 + c1*X(t) +
VOLt = b0 + b2CPI + b3REP + b4EX + b5SMI + b6FIP +et
BASt = a0+ a1VOLt+ ut
then I have pooled panel data by country by days and factors
can eviews estimate this model?
Re: autoregressive panel data model
Posted: Fri Jan 20, 2012 8:39 am
by EViews Gareth
I'm not sure I see the AR component of that model.
Re: autoregressive panel data model
Posted: Sat Jan 21, 2012 4:40 am
by tumrafael91
some factors in the first equation are dependent on each other..... one factor cause another
Re: autoregressive panel data model
Posted: Sat Jan 21, 2012 9:40 am
by startz
some factors in the first equation are dependent on each other..... one factor cause another
That has nothing to do with an AR model.
If you think the left hand side variable causes some of the right hand side variables you may wish to look into instrumental variable methods.
Re: autoregressive panel data model
Posted: Sun Jan 22, 2012 1:15 am
by tumrafael91
I understood thanks, and my final question....
Can I use 2SLS having panel data observations
Re: autoregressive panel data model
Posted: Sun Jan 22, 2012 8:16 am
by startz
sure
Re: autoregressive panel data model
Posted: Mon Jan 23, 2012 1:50 am
by tumrafael91
So as I understood firstly I must create a workfile, import panel data, and the after that construct a system object.......am I right?
Re: autoregressive panel data model
Posted: Mon Jan 23, 2012 7:29 am
by startz
You don't need a system object to use the TSLS command.
Re: autoregressive panel data model
Posted: Tue Jan 24, 2012 1:58 am
by tumrafael91
but my model is a system of two simultanious equations, and I can t exlude one of them....it will make my model incomplete.....so can i follow the steps that I described above
Re: autoregressive panel data model
Posted: Tue Jan 24, 2012 7:26 am
by startz
Perhaps you should show us what you've done and tell us where you've gotten stuck.