Panel Vector Autoregression
Andrews Lu MMSC Criteria based on Hansen-J-Statistic
Empirical estimation of PVAR Impulse Response Confidence Bands
Extract PVARFEOLS(p) Model Coefficients
Extract PVAR(p) Model Coefficients
Extract PVARHK(p) Model Coefficients
Extract Coefficients and GOF Measures from a Statistical Object
Forcast Error Variance Decomposition for PVAR
Extracting Fixed Effects
Generalized Impulse Response Function
Sargan-Hansen-J-Test for Overidentification
Knit Print Method for pvarfeols
Knit Print Method for pvargmm
Knit Print Method for pvarhk
Knit Print summary Method
Knit Print summary Method
Knit Print summary Method
Orthogonal Impulse Response Function
S3 plot method for pvarstability object, returns a ggplot object
S3 Print Method for pvarfeols
S3 Print Method for pvargamm
S3 Print Method for pvarhk
S3 print method for pvarstability object
S3 Print Method for summary.pvarfeols
S3 Print Method for summary.pvargmm
S3 Print Method for summary.pvarhk
P-value S3 Method
Fixed Effects Estimator for PVAR Model
GMM Estimation of Panel VAR Models
Hahn Kuehrsteiner Estimator for PVAR Model
Extracting Level Residuals
Standard Error S3 Method
Stability of PVAR(p) model
S3 Summary Method for pvarfeols
S3 Summary Method for pvargmm
S3 Summary Method for pvarhk
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.