13. Panel VAR (with Eviews)

Econometrics for PhD 2021, by Dr. habil. Gábor Dávid KISS, PhD
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Outline:
1. What is panel VAR?
Panel data
basic VAR model
restrictions of the parameters (Cholesky’s short-term, Blanchard–Quah's long-term)
Impulse response functions
Variance Decompositions
Structure of the S/F-matrix
Input requirements – stationarity (?)
Diagnostics: Information criteria, Standardized condition for stability (Eigenvalue stability condition, Companion Matrix’s Eigenvalues)
2. How to determine the input and diagnostics requirements?
Let’s check the most recent literature with this method
Input and diagnostics in the articles
Panel stationarity, AIC/BIC lag selection, eignevalue & unit circle is a MUST
3. Estimating panel VAR in Eviews

Literature:
Lütkepohl, H., 2005. New Introduction to Multiple Time Series Analysis. Springer, New York.
Brooks, C (2014): Introductory Econometrics for Finance, Cambridge University Press