pvarfeols function

Fixed Effects Estimator for PVAR Model

This function estimates a stationary PVAR with fixed effects.

pvarfeols(
  dependent_vars,
  lags,
  exog_vars,
  transformation = c("demean"),
  data,
  panel_identifier = c(1, 2)
)

Arguments

• dependent_vars: Dependent variables
• lags: Number of lags of dependent variables
• exog_vars: Exogenous variables
• transformation: Demeaning "demean"
• data: Data set
• panel_identifier: Vector of panel identifiers

Examples

data(Cigar)
ex1_feols <-
pvarfeols(dependent_vars = c("log_sales", "log_price"),
          lags = 1,
          exog_vars = c("cpi"),
          transformation = "demean",
          data = Cigar,
          panel_identifier= c("state", "year"))
          
summary(ex1_feols)