The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.
We extend two general methods of moment estimators to panel vector autoregression models (PVAR) with p lags of endogenous variables, predetermined and strictly exogenous variables. This general PVAR model contains the first difference GMM estimator by Holtz-Eakin et al. (1988) <doi:10.2307/1913103>, Arellano and Bond (1991) <doi:10.2307/2297968> and the system GMM estimator by Blundell and Bond (1998) <doi:10.1016/S0304-4076(98)00009-8>. We also provide 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.
| Version: | 0.5.6 |
| Depends: | R (≥ 3.5) |
| Imports: | knitr, MASS, Matrix (≥ 1.2-11), progress, matrixcalc, texreg, ggplot2, reshape2 |
| Suggests: | rmarkdown |
| Published: | 2024-11-25 |
| DOI: | 10.32614/CRAN.package.panelvar |
| Author: | Michael Sigmund [aut], Robert Ferstl [aut, cre] |
| Maintainer: | Robert Ferstl <robert.ferstl at ur.de> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Citation: | panelvar citation info |
| In views: | Econometrics |
| CRAN checks: | panelvar results |
| Reference manual: | panelvar.pdf |
| Package source: | panelvar_0.5.6.tar.gz |
| Windows binaries: | r-devel: panelvar_0.5.6.zip, r-release: panelvar_0.5.6.zip, r-oldrel: panelvar_0.5.6.zip |
| macOS binaries: | r-release (arm64): panelvar_0.5.6.tgz, r-oldrel (arm64): panelvar_0.5.6.tgz, r-release (x86_64): panelvar_0.5.6.tgz, r-oldrel (x86_64): panelvar_0.5.6.tgz |
| Old sources: | panelvar archive |
Please use the canonical form https://CRAN.R-project.org/package=panelvar to link to this page.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.