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RATS program to demonstrate IV estimation of VAR in panel data

Author

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  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Example of techniques for estimating a VAR with panel data (with large N-small T data set) from Holtz-Eakin, Newey and Rosen(1988), "Estimating Vector Autoregressions with Panel Data," Econometrica, vol. 56, no 6, pp 1371-95.The data set is from the same source as Holtz-Eakin, Newey and Rosen(1989), "The Revenues-Expenditures Nexus: Evidence from Local Government Data,"International Economic Review, vol 30, no 2, 415-429, but looks at a different model.

Suggested Citation

  • Tom Doan, "undated". "RATS program to demonstrate IV estimation of VAR in panel data," Statistical Software Components RTZ00185, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtz00185
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    File URL: https://www.estima.com/procs_perl/holtz-eakin_n_r_ecm1988.zip
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    Keywords

    Panel VAR; RATS;

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