Stata中面板向量自回归模型估计与程序实现.pdfVIP

EstimationofPanelVectorAutoregressioninStata:aPackageofPrograms

MichaelR.M.AbrigoandInessaLove

(February2015)

.Panelvectorautoregression(VAR)modelshavebeenincreasinglyusedinappliedresearch.

Whileprogramsspecificallydesignedtoestimatetime-seriesVARmodelsareoftenincludedasstandard

featuresinmoststatisticalpackages,panelVARmodelestimationandinferenceareoftenimplemented

withgeneral-useroutinesthatrequiresomeprogrammingdexterity.Inthispaper,webrieflydiscuss

modelselection,estimationandinferenceofpanelVARmodelsinageneralizedmethodofmoments

(GMM)framework,andpresentasetofStataprogramstoconvenientlyexecutethem.Weillustratethe

pvarpackageofprogramsbyusingstandardStatadatasets.

Stata中面板向量自回归的估计：程序包

迈克尔·R.M.阿布里戈和伊涅萨的爱情

（2015年2月）

抽象的。面板向量自回归（VAR）模型已越来越多地用于应用研究。虽然专门设计用于估计时间

序列VAR模型的程序通常作为功能包含在大多数统计软件包中，但面板VAR模型估计和推理通

常使用需要一定编程灵活性的通用例程来实现。在本文中，我们简要讨论了广义矩法（GMM）框架中

面板VAR模型的模型选择、估计和推理，并提出了一组方便执行它们的Stata程序。我们使用Stata

数据集来说明程序的pvar包。

EstimationofpanelvectorautoregressioninStata:Apackageofprograms

MichaelR.M.Abrigo*1andInessaLove2

(February2015)

1.Introduction

Time-seriesvectorautoregression(VAR)modelsoriginatedinthemacroeconometricsliteratureasan

alternativetomultivariatesimultaneousequationmodels(Sims,1980).AllvariabinaVARsystemare

typicallytreatedasendogenous,althoughidentifyingrestrictionsbasedontheoreticalmodelsoron

statisticalproceduresmaybeimposedtodisentangletheimpactofexogenousshoc