[R-SIG-Finance] Vector Autoregression on Panel Data

Paul Teetor paulteetor at yahoo.com
Thu Mar 31 20:39:01 CEST 2011


(1) Did you try searching at http://www.rseek.org? When I searched on "vector 
autoregression", it returned hundreds of results.

(2) What is the difference between VAR on panel data versus VAR on multivariate 
time series? I apologize if this is a stupid question, but I don't understand 
the difference. The task view page for Time Series Analysis 
(http://cran.r-project.org/web/views/TimeSeries.html) lists several packages for 
multivariate time series analysis.


Paul Teetor, Elgin, IL  USA

----- Original Message ----
From: Herbert Julius Garonfolo <hgaronfolo at gmail.com>
To: r-sig-finance at r-project.org
Sent: Thu, March 31, 2011 9:52:18 AM
Subject: [R-SIG-Finance] Vector Autoregression on Panel Data


I would like to do a Vector Autoregression model on panel data. Is this
possible in R? and are there any built in functionality to perform this kind
of model?

Thank you very much for your time.


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