pvarhk function

Hahn Kuehrsteiner Estimator for PVAR Model

This function estimates a stationary PVAR with fixed effects.

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

Arguments

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

Examples

data(Dahlberg)
ex1_hk <-
pvarhk(dependent_vars = c("expenditures", "revenues", "grants"),
        transformation = "demean",
        data = Dahlberg,
        panel_identifier= c("id", "year"))

summary(ex1_hk)

References

Hahn J., Kuehrsteiner G. (2002) Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects When Both n and T Are Large, Econometrica, 70 (4), 1639--1657