How to Panel VAR? (with Eviews)

13. Panel VAR (with Eviews)
Econometrics for PhD 2021, by Dr. habil. Gábor Dávid KISS, PhD
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Outline:
1. What is panel VAR?
- Panel data
- basic VAR model
- restrictions of the parameters (Cholesky’s short-term, Blanchard-Quah's long-term)
- Impulse response functions
- Variance Decompositions
- Structure of the S/F-matrix
- Input requirements - stationarity (?)
- Diagnostics: Information criteria, Standardized condition for stability (Eigenvalue stability condition, Companion Matrix’s Eigenvalues)
2. How to determine the input and diagnostics requirements?
- Let’s check the most recent literature with this method
- Input and diagnostics in the articles
- Panel stationarity, AIC/BIC lag selection, eignevalue & unit circle is a MUST
3. Estimating panel VAR in Eviews
Literature:
Lütkepohl, H., 2005. New Introduction to Multiple Time Series Analysis. Springer, New York.
Brooks, C (2014): Introductory Econometrics for Finance, Cambridge University Press

[@HH-nw4gr]

U saved my life! Thanks sir!

Happy to help

[@jaiflobo]

Hi, excellent video!!! Very concise and illustrative!!!!. I have a question...Is there a min number of observations to estimate a panel VAR? Could I work with a panel VAR in a country-set (i.e., LATAM->10 countries, T: 1990-2015)?? greetings

I think that the general assumptions about regression modeling works here as well. Time series should be longer than 20 datapoints, otherwise you will need many dummy variables to deal with outliers and some points will appear outside the unit circle if you have insufficient data (or some of them are missing).

[@mephist43]

Great, thanks, and a quick question: if I specify the panel structure of data, the standard VARs actually implemented a panel var, is that right?

Indeed, there are no further differences.

[@shaziaakram9060]

Hi kindly tell me the advantages of PANEL VAR over other available methodologies

Briefly, it provides nice IRFs for many time periods, while FE/RE/dynamic can only talk about the exact lags.

[@user-xk8ew1zk5q]

But in Eviews, standard VAR does not treat the data as panel, it treats your data as pooled data.

[@ndouniamaonionguivanbrenta8618]

How and when to use Panal Var GMM?

[@soufianemahjoubi5758]

Panel var with gmm style in eviews please

It would be nice if Eviews would develop it.