Panel VAR Modeling

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Күн бұрын

This is the modeling process for non-cointegrated I(1) time series. Using panel data, this video explains the estimation process with EViews.

Пікірлер: 16

@Голубчик-о1к Жыл бұрын

Very clear lesson, you have great teaching style

@juliebasconcillo Жыл бұрын

Hi! This is fantastic, very easy to follow lecture/ tutorials. I have two questions which you can help clarify though. First, why did you not take the first difference of the two variables when you ran the Panel VAR? Both are I(1) even if not cointegrated so I was expecting to see the d( ) notation. Second, I understand that you mentioned that if there is a mixed of I(0) and I(1) variables, ARDL modeling is the way to go. However, I saw a paper published by a renowned international institution which made use of Bayesian Panel VAR where one of the variables I suspect is I(0), e.g., inflation rate. That's only my suspicion because I cannot find in the paper the unit root test results. I tend to believe that inflation is most of the time I(0) variable. Do you think I can also use Panel VAR even if I have a mixed of I(0) and (1)? Thank you in advance for your response.

@user-xk8ew1zk5q Жыл бұрын

Same here I was looking to see d(series) for those I(1) series. I thought var can only be used for stationary variables?

@ahmadgryoa3612 3 ай бұрын

Thank you for this video But I have a question how to run TVP Var in Eviews ?

@bellisma77 Жыл бұрын

Enjoyed watching it. Unfortunately, i have read many papers using panel VAR in case of stationary variables at level. How can we decide ?

@KienTran-bc9dr 5 ай бұрын

I have same question. Why do we want I(1) series? Shouldnt the series be I(0) ?

@ssshhhjjjj3134 2 жыл бұрын

Thank you very much for this video. to choose the optimal number of lags, we use variables in level or in first difference? variables are stationary at first difference.

@agoogleuser6452 2 жыл бұрын

Same doubt

@freedman1405 Жыл бұрын

How can we view the impulse response function for Panel VAR?

@marwahassan3891 Жыл бұрын

Can l use panel VAR model for more than two variables?

@hermanmoller7630 5 ай бұрын

I hope you have found an answer by now but yes, you can.

@user-xk8ew1zk5q 5 ай бұрын

Eviews doesn't have panel var, I think in your estimation it treats your data as pooled data. Moreover, when specifying a VAR equation, there should be lag terms only on the right hand side but in your equation there are variables of the current period, would it be a problem?

@user-xk8ew1zk5q 5 ай бұрын

Also, when you estimate the equation not using VAR, though specifying the lag terms on the right hand side but they are treated as exogenous variables (not endogenous)