Quotation Sigmund, Michael, Ferstl, Robert. 2019. Panel vector autoregression in R with the package panelvar. The Quarterly Review of Economics and Finance.


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Abstract

In this paper we extend two general methods of moment (GMM) estimators to panel vector autoregression models (PVAR) with p lags of endogenous variables, predetermined and strictly exogenous variables. We first extend the first difference GMM estimator to this extended PVAR model. Second, we do the same for the system GMM estimator. We implement these estimators in the R package panelvar. In addition to the GMM estimators, we contribute to the empirical literature by implementing common specification tests (Hansen overidentification test, lag selection criterion and stability test of the PVAR polynomial) and classical structural analysis for PVAR models such as orthogonal and generalized impulse response functions, bootstrapped confidence intervals for impulse response analysis and forecast error variance decompositions. Finally, we implement the first difference and the forward orthogonal transformation to remove the fixed effects.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Quarterly Review of Economics and Finance
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, VW-D, WH-B
Language English
Title Panel vector autoregression in R with the package panelvar
Year 2019
Reviewed? Y
URL https://www.sciencedirect.com/science/article/abs/pii/S1062976918301467
DOI http://dx.doi.org/10.1016/j.qref.2019.01.001
Open Access N

Associations

People
Sigmund, Michael (Former researcher)
Ferstl, Robert (Former researcher)
Organization
Department of Economics (Berger) (Details)
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